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KPSS test for stationarity
h = kpsstest(y) returns the logical value (h) with the rejection decision from conducting the Kwiatkowski, Phillips, Schmidt, and Shin (KPSS) test for a unit root in the univariate time series y.
h = kpsstest(y,Name,Value) uses additional options specified by one or more Name,Value pair arguments.
If any Name,Value pair argument is a vector, then all Name,Value pair arguments specified must be vectors of equal length or length one. kpsstest(y,Name,Value) treats each element of a vector input as a separate test, and returns a vector of rejection decisions.
If any Name,Value pair argument is a row vector, then kpsstest(y,Name,Value) returns a row vector.
[1] Hamilton, J. D. Time Series Analysis. Princeton, NJ: Princeton University Press, 1994.
[2] Kwiatkowski, D., P. C. B. Phillips, P. Schmidt, and Y. Shin. "Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root." Journal of Econometrics. Vol. 54, 1992, pp. 159–178.
[3] Newey, W. K., and K. D. West. "A Simple, Positive Semidefinite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix." Econometrica. Vol. 55, 1987, pp. 703–708.
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