Kwiatkowski-Phillips-Schmidt-Shin test for stationarity.
Computes the Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test for the null hypothesis that x is level or trend stationary.
Parameters: | x : array_like, 1d
regression : str{‘c’, ‘ct’}
lags : int
store : bool
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Returns: | kpss_stat : float
p_value : float
lags : int
crit : dict
resstore : (optional) instance of ResultStore
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Notes
To estimate sigma^2 the Newey-West estimator is used. If lags is None, the truncation lag parameter is set to int(12 * (n / 100) ** (1 / 4)), as outlined in Schwert (1989). The p-values are interpolated from Table 1 of Kwiatkowski et al. (1992). If the computed statistic is outside the table of critical values, then a warning message is generated.
Missing values are not handled.
References
D. Kwiatkowski, P. C. B. Phillips, P. Schmidt, and Y. Shin (1992): Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root. Journal of Econometrics 54, 159-178.