Regression model
KPSS Stationarity Test
The KPSS test, introduced by Kwiatkowski, Phillips, Schmidt and Shin in 1992, tests the null hypothesis that a series is stationary against the alternative that it contains a unit root — the reverse of the ADF and Phillips-Perron tests. By flipping the burden of proof, it is designed to be used alongside unit-root tests so that the two can confirm one another and expose ambiguous, borderline cases.
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Sources
- Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics, 54(1–3), 159–178. DOI: 10.1016/0304-4076(92)90104-Y ↗
Related methods
Referenced by
Augmented Dickey-Fuller TestAugmented Dickey-Fuller unit root testDF-GLS TestFourier KPSS testNonlinear KPSS TestPhillips-Perron TestPhillips-Perron unit root testRobust ADF Unit Root TestRobust KPSS testRobust PP Unit Root TestTime-varying parameter KPSS testTime-varying parameter PP unit root test