www.gusucode.com > econ 案例源码程序 matlab代码 > econ/TestTimeSeriesDataForAUnitRootExample.m
%% Test Time Series Data for a Unit Root % This example shows how to test a univariate time series for a unit root. % It uses wages data (1900-1970) in the manufacturing sector. The series is % in the Nelson-Plosser data set. %% % Load the Nelson-Plosser data. Extract the nominal wages data. % Copyright 2015 The MathWorks, Inc. load Data_NelsonPlosser wages = DataTable.WN; %% % Trim the |NaN| values from the series and the corresponding dates (this step % is optional, since the test ignores |NaN| values). wDates = dates(isfinite(wages)); wages = wages(isfinite(wages)); %% % Plot the data to look for trends. plot(wDates,wages) title('Wages') %% % The plot suggests exponential growth. %% % Transform the data using the log function to linearize the series. logWages = log(wages); plot(wDates,logWages) title('Log Wages') %% % The data appear to have a linear trend. %% % Test the hypothesis that the series is a unit root process with a trend % (difference stationary), against the alternative that there is no unit % root (trend stationary). Set |'lags',[7:2:11]|, as suggested in % Kwiatkowski et al., 1992. [h,pValue] = kpsstest(logWages,'lags',[7:2:11]) %% % |kpsstest| fails to reject the hypothesis that the wages series is % trend stationary. If the result would have been [1 1 1], the two % inferences would provide consistent evidence of a unit root. It remains % unclear whether the data has a unit root. This is a typical result of % tests on many macroeconomic series. %% % The warnings that the test statistic "...is below tabulated critical % values" does not indicate a problem. |kpsstest| has a limited set of % calculated critical values. When it calculates a test statistic that is % outside this range, the test reports the p-value at the appropriate % endpoint. So, in this case, |pValue| reflects the closest tabulated % value. When a test statistic lies inside the span of tabulated values, % |kpsstest| linearly interpolates the p-value.