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KPSS: Stata module to compute Kwiatkowski-Phillips-Schmidt-Shin test for stationarity

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Author Info

  • Christopher F Baum

    ()
    (Boston College)

Abstract

kpss performs the Kwiatkowski, Phillips, Schmidt, Shin (KPSS, 1992) test for stationarity of a time series. This test differs from those in common use (such as dfuller and pperron) by having a null hypothesis of stationarity. The test may be conducted under the null of either trend stationarity (the default) or level stationarity. Inference from this test is complementary to that derived from those based on the Dickey-Fuller distribution. The KPSS test is often used in conjunction with those tests to investigate the possibility that a series is fractionally integrated (that is, neither I(1) nor I(0)). This is version 1.2.2 of the software, updated from that published in STB-58, and compatible with Stata version 8 syntax. It may be applied to a single timeseries in a panel with the if qualifier or to all timeseries with the by prefix.

Download Info

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File URL: http://fmwww.bc.edu/repec/bocode/k/kpss.ado
File Function: program code
Download Restriction: no

File URL: http://fmwww.bc.edu/repec/bocode/k/kpss.hlp
File Function: help file
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S410401.

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Programming language: Stata
Requires: Stata version 8.2
Date of creation: 10 Apr 2000
Date of revision: 25 Jun 2006
Handle: RePEc:boc:bocode:s410401

Note: This module may be installed from within Stata by typing "ssc install kpss". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

Order Information:
Web: http://repec.org/docs/ssc.php

Related research

Keywords: timeseries; unit root; stationarity;

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