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

Author

Listed:
  • 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.

Suggested Citation

  • Christopher F Baum, 2000. "KPSS: Stata module to compute Kwiatkowski-Phillips-Schmidt-Shin test for stationarity," Statistical Software Components S410401, Boston College Department of Economics, revised 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.
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    File URL: http://fmwww.bc.edu/repec/bocode/k/kpss.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/k/kpss.hlp
    File Function: help file
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    Keywords

    timeseries; unit root; stationarity;

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