tsa.stattools.kpss()
statsmodels.tsa.stattools.kpss
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statsmodels.tsa.stattools.kpss(x, regression='c', lags=None, store=False)
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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
Data series
regression : str{‘c’, ‘ct’}
Indicates the null hypothesis for the KPSS test * ‘c’ : The data is stationary around a constant (default) * ‘ct’ : The data is stationary around a trend
lags : int
Indicates the number of lags to be used. If None (default), lags is set to int(12 * (n / 100)**(1 / 4)), as outlined in Schwert (1989).
store : bool
If True, then a result instance is returned additionally to the KPSS statistic (default is False).
Returns: kpss_stat : float
The KPSS test statistic
p_value : float
The p-value of the test. The p-value is interpolated from Table 1 in Kwiatkowski et al. (1992), and a boundary point is returned if the test statistic is outside the table of critical values, that is, if the p-value is outside the interval (0.01, 0.1).
lags : int
The truncation lag parameter
crit : dict
The critical values at 10%, 5%, 2.5% and 1%. Based on Kwiatkowski et al. (1992).
resstore : (optional) instance of ResultStore
An instance of a dummy class with results attached as attributes
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.
© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.stattools.kpss.html