Performs the KPSS unit root test, where the Null hypothesis is
stationarity. The test types specify as deterministic component either
a constant "mu" or a constant with linear trend "tau".
Maximum number of lags used for error term correction.
use.lag
User specified number of lags.
Details
lags="short" sets the number of lags to
oot 4 of {4
\times (n/100)},
whereas lags="long" sets the number of lags to
oot 4 of
{12 \times (n/100)}. If lags="nil" is choosen, then no error
correction is made. Furthermore, one can specify a different number of
maximum lags by setting use.lag accordingly.
Value
An object of class ur.kpss.
Author(s)
Bernhard Pfaff
References
Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. and Shin, Y., (1992),
Testing the Null Hypothesis of Stationarity Against the Alternative of
a Unit Root: How Sure Are We That Economic Time Series Have a Unit
Root?, Journal of Econometrics, 54, 159–178.