Solved – How to interpret KPSS results

kpss-testrstationarity

I'm using R to calculate the KPSS to check the stationarity.

The library that I'm using is tseries and the function is kpss.test

I have done a simple test using cars (a default matrix on R). The code is:

> k <- kpss.test(cars$dist, null="Trend")
Warning message:
In kpss.test(cars$dist, null = "Trend") :
  p-value greater than printed p-value
> k    
        KPSS Test for Trend Stationarity

data:  cars$dist 
KPSS Trend = 0.0859, Truncation lag parameter = 1, p-value = 0.1

> k$statistic
KPSS Trend 
0.08585069 

> k$parameter
Truncation lag parameter 
                       1 
> k$p.value
[1] 0.1

> k$method
[1] "KPSS Test for Trend Stationarity"

> k$data.name
[1] "cars$dist"

Those are all the results that kpss returns.

My question is: How to interpret them to understand if it is stationary?

Thank you in advance!

Best Answer

You specified a null hypothesis of trend stationarity. That is the data follow a straight line time trend with stationary errors. The p-value is 0.1, so the null hypothesis is not rejected at the usual 5% level.

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