KPSS-test in Automatic ARIMA Forecasting

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

Posts: 6
Joined: Wed Nov 12, 2008 4:19 am

KPSS-test in Automatic ARIMA Forecasting

Postby Stortroll » Tue May 09, 2017 4:50 am

I wonder if there is a way to print the KPSS test equation? A second question is what bandwidth selection is used in these tests. Is it Newey-West, Andrews automatic or something else? Best regards

PS. I also wonder if a constant and a time trend is included in the KPSS tests so that the tests are conditional on the exogenous variables or not?

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11981
Joined: Tue Sep 16, 2008 5:38 pm

Re: KPSS-test in Automatic ARIMA Forecasting

Postby EViews Gareth » Wed May 10, 2017 8:09 am

It is not possible to print the KPSS test equation (although, of course, you can perform the KPSS yourself and see it).

It uses a Bartlett Kernel with NW auto bandwidth.

A constant is always included, a trend is not.
Follow us on Twitter @IHSEViews

Return to “Estimation”

Who is online

Users browsing this forum: Google [Bot] and 14 guests