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.

See also

mvgc_adf | mvgc_demo_stats