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%% Assess Trend Stationarity of a Series % Reproduce the first row of the second half of Table 5 in Kwiatkowski et % al., 1992. %% % Load the Nelson-Plosser Macroeconomic series data set. % Copyright 2015 The MathWorks, Inc. load Data_NelsonPlosser %% % Linearize the real gross national product series (RGNP). logGNPR = log(DataTable.GNPR); %% % Assess the null hypothesis that the series is trend stationary over % a range of lags. lags = (0:8)'; [~,pValue,stats] = kpsstest(logGNPR,'Lags',lags,'Trend',true); results = [lags pValue stats] %% % Warnings appear because the tests using 0 $\le$ |lags| $\le$ 2 % produce p-values that are less than 0.01. For |lags| $<$ 7, the tests % indicate sufficient evidence to suggest that log rGNP is unit root % nonstationary (i.e., not trend stationary) at the default 5% level.