KPSS-test in Automatic ARIMA Forecasting

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Stortroll
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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
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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.
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