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In statistica ed in econometria, il test K … In statistica ed in econometria, il test KPSS (dal nome degli autori Kwiatkowski, Phillips, Schmidt e Shin) è un test di verifica d'ipotesi che si utilizza quando si vuole confrontare l'ipotesi nulla di stazionarietà di una serie storica autoregressiva con l'ipotesi alternativa che la serie abbia una (o più) radici unitarie.a serie abbia una (o più) radici unitarie.
, Test KPSS (od nazwisk Kwiatkowski–Phillips … Test KPSS (od nazwisk Kwiatkowski–Phillips–Schmidt–Shin) – test sprawdzający hipotezę zerową o stacjonarności szeregu czasowego przedstawiony w 1992 roku przez Denisa Kwiatkowskiego, Petera C.B. Phillipsa, Petera Schmidta i . Szereg taki wyrażany jest jako suma trendu deterministycznego, błądzenia losowego oraz błędu stacjonarnego, sam test jest w którym hipoteza mówi o zerowej wariancji błądzenia losowego. Testy typu KPSS są uzupełnieniem dla takich jak test Dickeya–Fullera.eniem dla takich jak test Dickeya–Fullera.
, Le test KPSS ou test de Kwiatkowski-Phillips-Schmidt-Shin est un test statistique qui vise à savoir si une série temporelle est stationnaire c'est-à-dire si ses propriétés statistiques (espérance, variance, auto-corrélation) varient ou pas dans le temps.
, In econometrics, Kwiatkowski–Phillips–Schm … In econometrics, Kwiatkowski–Phillips–Schmidt–Shin (KPSS) tests are used for testing a null hypothesis that an observable time series is stationary around a deterministic trend (i.e. trend-stationary) against the alternative of a unit root. Contrary to most unit root tests, the presence of a unit root is not the null hypothesis but the alternative. Additionally, in the KPSS test, the absence of a unit root is not a proof of stationarity but, by design, of trend-stationarity. This is an important distinction since it is possible for a time series to be non-stationary, have no unit root yet be trend-stationary. In both unit root and trend-stationary processes, the mean can be growing or decreasing over time; however, in the presence of a shock, trend-stationary processes are mean-reverting (i.e. transitory, the time series will converge again towards the growing mean, which was not affected by the shock) while unit-root processes have a permanent impact on the mean (i.e. no convergence over time). Later, , Peter C. B. Phillips, Peter Schmidt and Yongcheol Shin (1992) proposed a test of the null hypothesis that an observable series is trend-stationary (stationary around a deterministic trend). The series is expressed as the sum of deterministic trend, random walk, and stationary error, and the test is the Lagrange multiplier test of the hypothesis that the random walk has zerovariance. KPSS-type tests are intended to complement unit root tests, such as the Dickey–Fuller tests. By testing both the unit root hypothesis and the stationarity hypothesis, one can distinguish series that appear to be stationary, series that appear to have a unit root, and series for which the data (or the tests) are not sufficiently informative to be sure whether they are stationary or integrated.whether they are stationary or integrated.
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In statistica ed in econometria, il test K … In statistica ed in econometria, il test KPSS (dal nome degli autori Kwiatkowski, Phillips, Schmidt e Shin) è un test di verifica d'ipotesi che si utilizza quando si vuole confrontare l'ipotesi nulla di stazionarietà di una serie storica autoregressiva con l'ipotesi alternativa che la serie abbia una (o più) radici unitarie.a serie abbia una (o più) radici unitarie.
, Test KPSS (od nazwisk Kwiatkowski–Phillips … Test KPSS (od nazwisk Kwiatkowski–Phillips–Schmidt–Shin) – test sprawdzający hipotezę zerową o stacjonarności szeregu czasowego przedstawiony w 1992 roku przez Denisa Kwiatkowskiego, Petera C.B. Phillipsa, Petera Schmidta i . Szereg taki wyrażany jest jako suma trendu deterministycznego, błądzenia losowego oraz błędu stacjonarnego, sam test jest w którym hipoteza mówi o zerowej wariancji błądzenia losowego. Testy typu KPSS są uzupełnieniem dla takich jak test Dickeya–Fullera.eniem dla takich jak test Dickeya–Fullera.
, In econometrics, Kwiatkowski–Phillips–Schmidt–Shin (KPSS) tests are used for testing a null hypothesis that an observable time series is stationary around a deterministic trend (i.e. trend-stationary) against the alternative of a unit root.
, Le test KPSS ou test de Kwiatkowski-Phillips-Schmidt-Shin est un test statistique qui vise à savoir si une série temporelle est stationnaire c'est-à-dire si ses propriétés statistiques (espérance, variance, auto-corrélation) varient ou pas dans le temps.
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Test KPSS
, KPSS test
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