KPSS: RATS procedure to perform KPSS (Kwiatowski, Phillips, Schmidt, and Shin) stationarity test

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Does the KPSS stationarity test procedure. Kwiatowski, Phillips, Schmidt & Shin(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?", J. of Econometrics, vol 54, 159-178.

Language: RATS
Requires: RATS 7.30
Keywords: Unit root tests; KPSS test (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/kpss.src (text/plain)

Related works:
Working Paper: 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? (1991)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00100

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