sts15 Tests for stationarity of a time series Christopher F. Baum, Boston College, [email protected] Abstract: Implements the Elliott–Rothenberg–Stock (1996) DF-GLS test and the Kwiatkowski–Phillips–Schmidt–Shin (1992) KPSS tests for stationarity of a time series. The DF-GLS test is an improved version of the augmented Dickey–Fuller test. The KPSS test has a null hypothesis of stationarity and may be...

This paper analyzes the asymptotic behavior of two types of so-called KPSS tests when a logarithm transformation has been applied spuriously to data that are themselves an integrated time series. Although a different limit distribution is obtained, the asymptotic convergence behavior of the KPSS statistic is reminiscent of that of integrated time series, and it is shown that the KPSS test canno...

BACKGROUND The Perceived Stress Scale (PSS) is a representative instrument used to measure stress. The original PSS comprises 14 items (PSS-14) in two subscales, but 10- and 4-item versions are also available (PSS-10 and 4, respectively). The target populations of psychometric studies using the PSS have far mainly comprised college students, and the underlying constructs of the PSS versions are...

The Phillips-Perron unit root test was used to test for unit roots, using level or trend nonstationarity as the null [1]. (A unit root tests whether a variable y evolves as a random walk, i.e., with the dynamic relation yt = yt-1 + constant + deterministic trend + errort.) The KPSS test [1,2], which uses level or trend stationarity as the null, was used to confirm the results of the Phillips-Pe...

In the current paper, the finite-sample stability of various implementations of the KPSS test is studied. The implementations considered differ in how the so-called long-run variance is estimated under the null hypothesis. More specifically, the effects that the choice of kernel, the value of the bandwidth parameter and the application of a prewhitening filter have on the KPSS test are investig...

This study aims to investigate the purchasing power parity (PPP) hypothesis for 38 OECD member countries over period 1994:M1-2021:M9 by performing Hepsag’s (2021) unit root test. It fills gap in literature since it is one of first studies conducted a test that considers structural change and nonlinearity all countries. The study, which conventional tests such as ADF, KPSS, Fourier allow merely ...