|See also:||kpss rvlm lo robwhittle roblm lobrob gph neweywest|
|Description:||Calculates the KPSS statistics for I(0) processes against long-memory alternatives. We consider two tests, denoted by KPSS_mu and KPSS_t, based on a regression on a constant mu, and on a constant and a time trend t, respectively. The quantlet returns the value of the estimated statistic for two the types of the test, i.e., const or trend and the critical values for a 95 percent confidence interval for I(0) (const, trend).|
|Usage:||(kp, critvalue) = kpssnum(y,T)|
|T||scalar, truncation lag for the autocorrelation consistent variance estimator|
;Non-stationarity test on the series dmus58.dat. library("times") x = read("dmus58.dat") ; 25477 obs: log FX rates x = x[1:1000] kpssnum(x,0) ;
Values of the test statistics and its critical values.