KPSS-test in Automatic ARIMA Forecasting
Posted: 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?
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?