The KPSS class provides capabilities of performing KPSS test to determine if a time series is stationary around a deterministic trend. This code is translated from the C++ code found in
Value parameters
- lagsType_
-
type of lags, long or short
- lags_
-
the number of lags to use
- trend_
-
type of trend to test for
- yy
-
the original time series vector
Attributes
- See also
-
github.com/olmallet81/URT.
- Companion
- object
- Graph
-
- Supertypes
Members list
Value members
Concrete methods
Check to see if H0 can be rejected. Must call pvalue first to compute pval.
Check to see if H0 can be rejected. Must call pvalue first to compute pval.
Attributes
Compute test statistics.
Compute test statistics.
Attributes
OLS demeaning or detrending.
OLS demeaning or detrending.
Attributes
Compute test statistic p-value.
Reset y to the original data.
Reset y to the original data.
Attributes
Output test results.
Compute KPSS test statistic.
Compute KPSS test statistic.
Attributes
Inherited methods
Get test valid trends.
Reset the values for lags for trend.
Reset the values for lags for trend.
Value parameters
- lags
-
the number of lags to use
- trend
-
type of trend to test for
Attributes
- Inherited from:
- UnitRoot
Set number of lags, checking input validity. This method needs to know optim so it needs to be run after set_method ().
Set number of lags, checking input validity. This method needs to know optim so it needs to be run after set_method ().
Attributes
- Inherited from:
- UnitRoot
Set lags type long or short for PP and KPSS default lags value or ADF and DFGLS default maxlags value.
Set lags type long or short for PP and KPSS default lags value or ADF and DFGLS default maxlags value.
Attributes
- Inherited from:
- UnitRoot