Estoy realizando una prueba Kwiatkowski-Phillips-Schmidt-Shin ( Prueba KPSS ) en R ( urca::ur.kpss ). Sin embargo, no estoy seguro de que se realice correctamente, porque los resultados son los mismos para cada columna de datos.
> dput(datSel)
structure(list(c = c(142.8163942, 143.5711365, 145.3485827, 142.0577145,
139.4326176, 140.1236581, 138.6560282, 136.405036, 133.9337229,
133.8785538, 132.0608441, 130.0866307, 120.1320237, 119.6368882,
114.3312943, 117.5084111, 114.4960017, 112.9124518, 112.8185478,
112.3047916, 106.632639, 106.2107158, 106.8455028, 106.3879556,
104.3451786, 102.9085952, 101.0967783, 101.7858278, 101.0749044,
102.6441976, 102.0666152, 100, 97.14084104, 97.49972913, 96.91453836,
96.05132443, 94.98057971, 92.78373451, 92.67526281, 91.82430571,
91.4153859, 89.51740671, 89.01587176, 84.62259911, 91.48598494,
89.12053042, 90.02364352, 90.92496121, 89.42963565, 91.93886583,
88.83918306, 90.39513509, 87.54571761, 91.3386451, 87.7836994,
91.79178376, 87.56903138, 87.77875755, 89.29938784, 90.88084014
), d = c(17703.7, 17599.8, 17328.2, 17044, 17078.3, 16872.3,
16619.2, 16502.4, 16332.5, 16268.9, 16094.7, 15956.5, 15785.3,
15587.1, 15460.9, 15238.4, 15230.2, 15057.7, 14888.6, 14681.1,
14566.5, 14384.1, 14340.4, 14383.9, 14549.9, 14843, 14813, 14668.4,
14685.3, 14569.7, 14422.3, 14233.2, 14066.4, 13908.5, 13799.8,
13648.9, 13381.6, 13205.4, 12974.1, 12813.7, 12562.2, 12367.7,
12181.4, 11988.4, 11816.8, 11625.1, 11370.7, 11230.1, 11103.8,
11037.1, 10934.8, 10834.4, 10701.3, 10639.5, 10638.4, 10508.1,
10472.3, 10357.4, 10278.3, 10031), e = c(71.0619, 70.9383, 71.162,
71.138, 71.2286, 71.5095, 71.565, 71.3246, 71.4963, 71.3738,
71.4276, 71.3065, 71.0246, 71.3244, 71.0619, 70.9811, 71.2149,
70.8342, 70.5568, 70.5444, 70.3286, 70.179, 70.2555, 70.5103,
70.8038, 70.6748, 70.9769, 70.6988, 70.2125, 70.1661, 69.6284,
69.5613, 68.9837, 68.8606, 68.4223, 67.963, 67.6293, 67.5905,
67.1857, 67.1248, 66.7075, 66.5857, 66.4303, 66.2826, 68.7514,
68.8897, 69.0824, 68.9718, 68.7927, 68.6387, 68.8053, 68.7286,
68.4141, 68.2357, 68.4785, 68.4171, 68.4782, 68.3978, 68.5344,
68.4772), f = c(2160.080078, 2203.939941, 2500.850098, 2523.820068,
2546.54, 2528.449951, 2223.97998, 2352.01001, 2401.21, 2089.73999,
1975.349976, 2159.060059, 1891.68, 1947.849976, 2766.72998, 2882.179932,
2947.24, 2541.629883, 2278.800049, 2634, 2495.56, 2637.280029,
2098.649902, 1696.619995, 1750.83, 2767.76001, 3943.149902, 3765.909912,
4512.98, 4527.299805, 4869.259766, 4645.5, 4463.47, 3868.27002,
3745.719971, 4139.830078, 3667.03, 3457.449951, 3049.909912,
2632.899902, 2431.38, 2042.869995, 1989.400024, 1866.76001, 1545.15,
1351.890015, 1305.709961, 1163.109985, 1150.05, 1070.209961,
1243.069946, 1289.16, 1140.36, 1084.069946, 1206.819946, 1186.540039,
1073.3, 1161.160034, 1129.579956, 1130.069946), g = c(5.7393,
5.7072, 5.6126, 5.6411, 5.5114, 5.4551, 5.1613, 5.4087, 5.0227,
5.2039, 4.9501, 4.5008, 4.9143, 4.1372, 4.5604, 4.7979, 4.5454,
4.8863, 5.0496, 4.9757, 5.4705, 5.8403, 5.4328, 4.6986, 4.4481,
4.1385, 3.8379, 4.2183, 4.5429, 5.03, 5.1821, 4.8269, 5.0469,
5.1054, 5.3959, 5.5413, 5.8139, 5.8611, 5.8396, 5.1964, 5.6386,
5.6615, 5.5751, 5.2251, 4.4682, 4.262, 4.3487, 4.1654, 3.9651,
3.9105, 3.7954, 4.1595, 3.8174, 3.6349, 3.6119, 3.4004, 3.366,
3.3953, 3.3621, 3.9338), h = c(88.548662, 90.58853576, 91.32289522,
91.56290683, 108.4682322, 93.86541244, 100.3414441, 91.98328561,
95.53905246, 102.6461104, 97.9505881, 108.912959, 114.4931447,
108.0431511, 98.58118608, 107.9440773, 99.41777306, 104.868483,
100.3338425, 98.06667712, 100.6353811, 100.6491181, 106.4241282,
79.3180456, 80.40781739, 85.35716451, 102.9110831, 88.99947733,
99.38928861, 87.57579615, 87.49264945, 90.29013182, 92.13878645,
90.15141711, 83.90950016, 97.24552675, 93.38024804, 94.16745797,
98.90106448, 94.73366108, 104.1079291, 98.20132446, 97.70974526,
91.86162897, 101.5381154, 94.56938821, 86.91581151, 87.16428746,
87.35114009, 85.0634706, 86.2179337, 82.34156437, 79.86840987,
84.20717658, 85.29553997, 90.94079268, 92.84823122, 88.90113767,
88.05502443, 92.38787475), i = c(363.81, 361.19, 362.35, 359.09,
359.31, 355.8, 356.64, 353.83, 353.49, 348.92, 348.8, 344.85,
343.48, 340.75, 341.1, 335.72, 331.29, 328.21, 328.95, 325.92,
324.83, 322.83, 323.18, 321.66, 322.94, 323.14, 322.89, 318.34,
315.85, 311.61, 311.3, 308.34, 306.1, 305.64, 305.58, 302.91,
301.64, 300.24, 299.54, 298.58, 296.4, 293.87, 293.35, 291.61,
289.43, 288.03, 287.69, 287.6, 285.95, 284.8, 284.63, 282.62,
281.24, 280, 280.09, 277.65, 275.73, 273.12, 272.78, 272.25),
j = c(307.5, 308.6, 308.9, 309.7, 311.1, 311.6, 311.6, 313.9,
314.9, 314.8, 314.9, 314.5, 313.4, 313, 312.9, 309, 304.5,
302.76, 299.28, 293.44, 291.52, 291.71, 290.61, 294.17, 297.74,
300.02, 295.91, 292.9, 289.23, 287.49, 285.86, 283.84, 281.1,
280.37, 278.63, 275.44, 273.88, 273.24, 274.6, 275.15, 269.77,
267.66, 264.29, 262.27, 260.53, 260.52, 261.54, 263.27, 261.45,
261.81, 261.99, 261.35, 262.64, 264.74, 265.56, 265.47, 267.3,
265.47, 262.64, 260.72), k = c(103.3086091, 102.9085757,
103.6086341, 107.5089591, 107.9089924, 108.9090758, 104.3086924,
97.80815068, 104.8087341, 108.0090008, 103.4086174, 104.5087091,
105.8088174, 100.308359, 102.6085507, 100.4083674, 96.80806734,
99.50829236, 102.708559, 100.7083924, 103.0485874, 103.9186599,
104.7887324, 105.0787566, 103.3386116, 104.0186682, 102.5685474,
112.4193683, 105.8488207, 104.5987166, 107.3989499, 108.6490541,
107.2989416, 106.2388532, 101.3084424, 98.02816901, 102.1785149,
97.83815318, 98.70822569, 88.85740478, 92.66772231, 95.36794733,
91.4076173, 87.54729561, 89.66747229, 87.73731144, 87.34727894,
90.9275773, 78.26652221, 80.29669139, 79.90665889, 77.68647387,
77.59646637, 78.46653888, 77.68647387, 77.01641803, 84.45703809,
77.97649804, 76.72639387, 77.88649054), l = c(109.1, 109.1,
108.8, 108.2, 107.6, 107.2, 107.3, 106.7, 106.4, 106, 105.9,
104.9, 103.8, 103.5, 103, 102.3, 101.3, 100.5, 99.6, 98.6,
97.43314, 96.68301, 95.84954, 95.18276, 94.76602, 94.01589,
92.84903, 91.18208, 89.76517, 89.18174, 88.51496, 87.76484,
86.68132, 85.93119, 85.18107, 84.51429, 83.76416, 83.43077,
83.26407, 82.93068, 82.46215, 82.14979, 81.83744, 81.05654,
80.43183, 80.35374, 80.27565, 79.9633, 79.72903, 79.57285,
79.57285, 79.26049, 79.02623, 79.10432, 79.02623, 78.71387,
78.4796, 78.24534, 77.93298, 77.69871), m = c(108.26667,
107.96667, 107.46667, 106.76667, 106.66667, 106.6, 106.43333,
105.83333, 105, 104.8, 104.46667, 103.46667, 102.4, 102.56667,
102.2, 101.96667, 100.77774, 100.47032, 100.41443, 98.48607,
97.47997, 97.22844, 96.55771, 96.52976, 96.58566, 98.2066,
96.58566, 94.0704, 92.00231, 92.03026, 91.86257, 90.40932,
89.26348, 88.84427, 87.19538, 85.32292, 84.28887, 83.61814,
83.72993, 83.59019, 83.22324, 82.61167, 82.09794, 80.36107,
78.86882, 78.42849, 77.93923, 77.05856, 76.39806, 76.34913,
76.22682, 75.39507, 75.05259, 75.24829, 75.12598, 74.34316,
74.04961, 73.60927, 73.21786, 72.67968), n = c(108.56667,
108.56667, 108.23333, 107.3, 107.13333, 106.8, 106.63333,
105.76667, 105.46667, 105.06667, 104.8, 103.23333, 102.5,
102.6, 102.36667, 102.1, 100.5226, 100.32976, 100.71544,
98.29121, 97.35458, 97.43723, 96.80362, 96.85872, 96.36285,
98.75953, 97.05155, 93.6907, 91.12874, 91.29403, 91.29403,
89.44831, 88.07091, 87.57505, 85.86707, 83.96626, 83.4153,
82.64396, 82.47867, 82.17564, 82.00498, 81.76645, 81.12244,
79.59587, 78.02161, 77.73538, 77.18677, 76.11341, 75.39783,
75.42168, 75.04004, 73.94283, 73.94283, 74.08594, 73.7043,
72.67864, 72.2493, 71.89151, 71.43831, 70.62732), o = c(57844L,
57844L, 57667L, 57168L, 57080L, 56904L, 56813L, 56353L, 56193L,
55980L, 55838L, 55003L, 54612L, 54666L, 54541L, 54398L, 53567L,
53465L, 53670L, 52379L, 51878L, 51923L, 51585L, 51615L, 51351L,
52629L, 51718L, 49927L, 48562L, 48649L, 48640L, 47666L, 46932L,
46668L, 45758L, 44745L, 44428L, 44046L, 43944L, 43779L, 43690L,
43563L, 43219L, 42407L, 41567L, 41416L, 41123L, 40551L, 40170L,
40182L, 39979L, 39395L, 39394L, 39471L, 39267L, 38721L, 38514L,
38309L, 38061L, 37617L), p = c(59373L, 59209L, 58935L, 58551L,
58496L, 58458L, 58368L, 58039L, 57582L, 57472L, 57289L, 56742L,
56156L, 56248L, 56046L, 55919L, 55243L, 55075L, 55045L, 53988L,
53436L, 53298L, 52930L, 52915L, 52947L, 53834L, 52946L, 51567L,
50433L, 50449L, 50357L, 49557L, 48932L, 48671L, 47722L, 46772L,
46213L, 45865L, 45919L, 45826L, 45612L, 45276L, 44994L, 44041L,
43225L, 42983L, 42715L, 42232L, 41870L, 41843L, 41777L, 41321L,
41132L, 41240L, 41172L, 40743L, 40587L, 40352L, 40127L, 39814L
), q = c(96819L, 96819L, 96090L, 94632L, 94632L, 94632L,
93727L, 91917L, 91917L, 91917L, 90779L, 88503L, 88416L, 88416L,
88270L, 87978L, 87996L, 87996L, 87566L, 86706L, 86706L, 86706L,
85794L, 83970L, 83970L, 83970L, 83007L, 81081L, 81081L, 81081L,
80423L, 79107L, 79107L, 79107L, 78321L, 76749L, 76533L, 76533L,
75983L, 74883L, 74883L, 74883L, 74575L, 73959L, 73959L, 73959L,
73167L, 71583L, 71583L, 71583L, 70858L, 69408L, 69408L, 69408L,
68594L, 66966L, 66831L, 66342L, 65853L, 64875L), r = c(144.5,
146.5, 147.3, 143.3, 140.1, 142.8, 141.2, 140.2, 137.8, 137.4,
136.6, 137.6, 125.5, 125.7, 120.5, 124.2, 121.5, 119.8, 121.3,
122, 114.1, 114.4, 114.7, 116.1, 112.8, 111.8, 110.2, 111.7,
112.2, 113.7, 112.7, 110.5, 107, 107.5, 108, 107.1, 106.7,
103.3, 104.2, 104.3, 104.1, 101.3, 100.5, 94.3, 105.6, 101,
102, 103.1, 101.4, 105.5, 100.5, 102.8, 100.5, 105.1, 98.8,
105.1, 98.2, 98.2, 100.6, 103), s = c(132.2, 133.9, 133.5,
126, 125, 122.6, 122.6, 123.8, 124.5, 120.2, 120.2, 123.5,
105.2, 116.4, 111.5, 116.4, 116.1, 114.3, 117, 117.9, 107.1,
104.5, 110.6, 110.5, 104.2, 105.4, 106.2, 110.3, 106.8, 111.4,
111.2, 108.5, 93.5, 101.5, 101.4, 101.3, 101.7, 96.8, 97.3,
100, 97.5, 99.4, 94.8, 93.8, 101.9, 97.4, 97.7, 98.4, 100.6,
100.1, 96.3, 98.1, 93.4, 99.3, 97.3, 99.6, 99.2, 97.8, 100.1,
102.9), t = c(149.8, 151.9, 153.2, 150.7, 146.5, 151.5, 149.2,
147.3, 143.6, 144.8, 143.6, 143.7, 134.1, 129.7, 124.3, 127.5,
123.7, 122.2, 123.1, 123.8, 117.1, 118.6, 116.4, 118.4, 116.4,
114.6, 111.9, 112.2, 114.5, 114.6, 113.4, 111.3, 112.8, 110.1,
110.8, 109.5, 108.8, 106.1, 107.1, 106.1, 107, 102.1, 103,
94.5, 107.2, 102.5, 103.9, 105.1, 101.7, 107.8, 102.4, 104.8,
103.6, 107.6, 99.5, 107.4, 97.8, 98.4, 100.8, 103), u = c(155.2,
157.6, 159, 156.5, 151.4, 155, 152, 149, 146.4, 147.9, 146.6,
146.3, 137.1, 131.1, 124.5, 127.5, 123.1, 121.9, 123, 123.5,
116.4, 117.7, 116.4, 118.1, 116.5, 113.7, 110.2, 111, 113.9,
113.9, 113.6, 110.9, 113.2, 109.9, 111.7, 109.7, 110.1, 106.3,
107.4, 105.9, 107.2, 101.6, 103.8, 94.1, 108.4, 102.7, 104.1,
105.1, 101.5, 108.8, 102.3, 105.4, 103, 107.2, 99.3, 107.6,
97.4, 97.6, 101.2, 103.9), v = c(112.6, 112.7, 113.6, 110.7,
113.4, 127.1, 130.1, 135.7, 123.7, 123.2, 123, 125.5, 113.5,
120.2, 123.3, 128, 128.2, 124.6, 124, 125.8, 122.2, 124.8,
116.6, 120.4, 115.9, 120.6, 124, 120.6, 119, 120.1, 111.6,
114, 110.2, 111.6, 104.5, 107.9, 100.4, 104.7, 105, 106.9,
105.1, 105.8, 97.3, 96.6, 99.1, 101.1, 102.5, 105.2, 103,
101, 102.7, 100.5, 107.4, 110.1, 101.3, 105.7, 100.3, 104.1,
98.4, 97.2)), .Names = c("c", "d", "e", "f", "g", "h", "i",
"j", "k", "l", "m", "n", "o", "p", "q", "r", "s", "t", "u", "v"
), row.names = c(NA, -60L), class = "data.frame")
> resKpssT <- lapply(datSel,function(x){ summary(ur.kpss(x,type="tau")) })
> (resKpssT)
$c
#######################
# KPSS Unit Root Test #
#######################
Test is of type: tau with 3 lags.
Value of test-statistic is: 0.3717
Critical value for a significance level of:
10pct 5pct 2.5pct 1pct
critical values 0.119 0.146 0.176 0.216
$d
#######################
# KPSS Unit Root Test #
#######################
Test is of type: tau with 3 lags.
Value of test-statistic is: 0.1771
Critical value for a significance level of:
10pct 5pct 2.5pct 1pct
critical values 0.119 0.146 0.176 0.216
$e
#######################
# KPSS Unit Root Test #
#######################
Test is of type: tau with 3 lags.
Value of test-statistic is: 0.158
Critical value for a significance level of:
10pct 5pct 2.5pct 1pct
critical values 0.119 0.146 0.176 0.216
$f
#######################
# KPSS Unit Root Test #
#######################
Test is of type: tau with 3 lags.
Value of test-statistic is: 0.2767
Critical value for a significance level of:
10pct 5pct 2.5pct 1pct
critical values 0.119 0.146 0.176 0.216
$g
#######################
# KPSS Unit Root Test #
#######################
Test is of type: tau with 3 lags.
Value of test-statistic is: 0.1737
Critical value for a significance level of:
10pct 5pct 2.5pct 1pct
critical values 0.119 0.146 0.176 0.216
$h
#######################
# KPSS Unit Root Test #
#######################
Test is of type: tau with 3 lags.
Value of test-statistic is: 0.0815
Critical value for a significance level of:
10pct 5pct 2.5pct 1pct
critical values 0.119 0.146 0.176 0.216
$i
#######################
# KPSS Unit Root Test #
#######################
Test is of type: tau with 3 lags.
Value of test-statistic is: 0.2921
Critical value for a significance level of:
10pct 5pct 2.5pct 1pct
critical values 0.119 0.146 0.176 0.216
$j
#######################
# KPSS Unit Root Test #
#######################
Test is of type: tau with 3 lags.
Value of test-statistic is: 0.1445
Critical value for a significance level of:
10pct 5pct 2.5pct 1pct
critical values 0.119 0.146 0.176 0.216
$k
#######################
# KPSS Unit Root Test #
#######################
Test is of type: tau with 3 lags.
Value of test-statistic is: 0.3354
Critical value for a significance level of:
10pct 5pct 2.5pct 1pct
critical values 0.119 0.146 0.176 0.216
$l
#######################
# KPSS Unit Root Test #
#######################
Test is of type: tau with 3 lags.
Value of test-statistic is: 0.3125
Critical value for a significance level of:
10pct 5pct 2.5pct 1pct
critical values 0.119 0.146 0.176 0.216
$m
#######################
# KPSS Unit Root Test #
#######################
Test is of type: tau with 3 lags.
Value of test-statistic is: 0.1857
Critical value for a significance level of:
10pct 5pct 2.5pct 1pct
critical values 0.119 0.146 0.176 0.216
$n
#######################
# KPSS Unit Root Test #
#######################
Test is of type: tau with 3 lags.
Value of test-statistic is: 0.1818
Critical value for a significance level of:
10pct 5pct 2.5pct 1pct
critical values 0.119 0.146 0.176 0.216
$o
#######################
# KPSS Unit Root Test #
#######################
Test is of type: tau with 3 lags.
Value of test-statistic is: 0.1822
Critical value for a significance level of:
10pct 5pct 2.5pct 1pct
critical values 0.119 0.146 0.176 0.216
$p
#######################
# KPSS Unit Root Test #
#######################
Test is of type: tau with 3 lags.
Value of test-statistic is: 0.1847
Critical value for a significance level of:
10pct 5pct 2.5pct 1pct
critical values 0.119 0.146 0.176 0.216
$q
#######################
# KPSS Unit Root Test #
#######################
Test is of type: tau with 3 lags.
Value of test-statistic is: 0.0801
Critical value for a significance level of:
10pct 5pct 2.5pct 1pct
critical values 0.119 0.146 0.176 0.216
$r
#######################
# KPSS Unit Root Test #
#######################
Test is of type: tau with 3 lags.
Value of test-statistic is: 0.3628
Critical value for a significance level of:
10pct 5pct 2.5pct 1pct
critical values 0.119 0.146 0.176 0.216
$s
#######################
# KPSS Unit Root Test #
#######################
Test is of type: tau with 3 lags.
Value of test-statistic is: 0.3033
Critical value for a significance level of:
10pct 5pct 2.5pct 1pct
critical values 0.119 0.146 0.176 0.216
$t
#######################
# KPSS Unit Root Test #
#######################
Test is of type: tau with 3 lags.
Value of test-statistic is: 0.3514
Critical value for a significance level of:
10pct 5pct 2.5pct 1pct
critical values 0.119 0.146 0.176 0.216
$u
#######################
# KPSS Unit Root Test #
#######################
Test is of type: tau with 3 lags.
Value of test-statistic is: 0.3544
Critical value for a significance level of:
10pct 5pct 2.5pct 1pct
critical values 0.119 0.146 0.176 0.216
$v
#######################
# KPSS Unit Root Test #
#######################
Test is of type: tau with 3 lags.
Value of test-statistic is: 0.1649
Critical value for a significance level of:
10pct 5pct 2.5pct 1pct
critical values 0.119 0.146 0.176 0.216
> cv.kpss.tau <- sapply(resKpssT, function(x) x@cval)
> (cv.kpss.tau)
c d e f g h i j k l m n o p q r s t
[1,] 0.119 0.119 0.119 0.119 0.119 0.119 0.119 0.119 0.119 0.119 0.119 0.119 0.119 0.119 0.119 0.119 0.119 0.119
[2,] 0.146 0.146 0.146 0.146 0.146 0.146 0.146 0.146 0.146 0.146 0.146 0.146 0.146 0.146 0.146 0.146 0.146 0.146
[3,] 0.176 0.176 0.176 0.176 0.176 0.176 0.176 0.176 0.176 0.176 0.176 0.176 0.176 0.176 0.176 0.176 0.176 0.176
[4,] 0.216 0.216 0.216 0.216 0.216 0.216 0.216 0.216 0.216 0.216 0.216 0.216 0.216 0.216 0.216 0.216 0.216 0.216
u v
[1,] 0.119 0.119
[2,] 0.146 0.146
[3,] 0.176 0.176
[4,] 0.216 0.216Se puede ver que todos los valores críticos son iguales y predican los valores críticos. Por lo tanto, todos los datos deben ser no estacionarios.
Sin embargo, no creo que esto sea correcto, ya que al observar, por ejemplo, las series temporales, q .
¿Alguna sugerencia de lo que estoy haciendo mal?
ACTUALIZACIÓN
He creado una tabla de mis series para los valores de la prueba KPSS.
¿Es esto correcto?
También pasé mis resultados por una prueba de Dick Fuller, que básicamente me muestra resultados complementarios:
Mi fórmula de Excel está en pseudocódigo:
=IF("calculated p-value" <= "critical value"; H1 ; H0 )Aquí puedes encontrar una hoja de Excel, que estoy utilizando para los cálculos:
Las dos fotos me muestran resultados complementarios. Por lo tanto, supongo que estoy haciendo algo mal.
¿Alguna recomendación de lo que estoy haciendo mal?
