mvgc_kpss (EXPERIMENTAL)
KPSS unit root stationarity test
Syntax
[ksstat,cval] = mvgc_kpss(X,alpha,q)
Arguments
See also Common variable names and data structures.
input
X multi-trial time series data alpha significance level q number of lags; default: sqrt(number of observations)
output
ksstat matrix of KPSS test statistics cval KPSS test critical value
Description
Calculates the KPSS unit root test statistics ksstat and critical value cval for a (possibly multi-trial) multivariate time series X at significance level alpha [1]. The returned test statistics matrix ksstat is N x n for N trials of an n-variate time series.
Note: Adapted from code provided by Mario Forni.
References
[1] D. Kwiatkowski, P. C. B. Phillips, P. Schmidt, and Y. Shin, "Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root", J. Econometrics 54, 1992.