Kpss data

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Indicates the number of lags to be used. The p-value of the test. The p-value is interpolated from Table 1 in Kwiatkowski et al. The p-values are interpolated from Table 1 of Kwiatkowski et al. If the computed statistic is outside the table of critical values, then a warning message is generated.

Kpss data

This repository provides updates and extended data following Kogan, L. Technological innovation, resource allocation, and growth. Quarterly Journal of Economics, 2 , pp. The version released on August 9, is the latest data that updates and adds data for the second half of The version released on September 6, updates filing date information for each patent. The version released on June 8, is the latest data that updates and adds data for The version released on May 10, is the latest data that updates until the end of The newly estimated gamma in the updated sample is 0. This estimate was 0. Stock return volatility is now computed over the last 52 weeks for stocks with at least 20 days non-missing data as opposed to the previous calendar year in the QJE paper.

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Stationarity means that the statistical properties of a time series i. Many statistical models require the series to be stationary to make effective and precise predictions. A method to convert a non-stationary time series into stationary series shall also be used. Sunspots dataset is used. It contains yearly data on sunspots from the National Geophysical Data Center. ADF test is used to determine the presence of unit root in the series, and hence helps in understand if the series is stationary or not.

A KPSS test can be used to determine if a time series is trend stationary. This test uses the following null and alternative hypothesis:. If the p-value of the test is less than some significance level e. We can use the kpss function from the statsmodels package to perform a KPSS test on this time series data:. The p-value is 0. Since this value is not less than. This means we can assume that the time series is trend stationary. Note 1 : The p-value is actually even greater than 0.

Kpss data

Stationarity means that the statistical properties of a time series i. Many statistical models require the series to be stationary to make effective and precise predictions. A method to convert a non-stationary time series into stationary series shall also be used. Sunspots dataset is used.

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This repository provides updates and extended data following Kogan, L. Technological innovation, resource allocation, and growth. Quarterly Journal of Economics, 2 , pp.

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