topic Re: KPSS stationarity test in Viya in SAS Forecasting and Econometrics

KPSS stationarity test in Viya

Edoedoedo — Wed, 09 Jun 2021 14:09:33 GMT

Hi,

I need to run the KPSS stationarity test on Viya, but I found no info about KPSS in the Time Series Analysis Package, only ADF. How could it be done?

Note: the time series I'm dealing with are thousands and very long, so it needs to be done on CAS, SAS9.4 is not an option.

Thank you

Regards

Re: KPSS stationarity test in Viya

sbxkoenk — Fri, 02 Jul 2021 17:24:09 GMT

Hello,

Have you made any progression on this?

Why do you want to use

KPSS (Kwiatkowski–Phillips–Schmidt–Shin) test and not

ADF (Augmented Dickey Fuller) test ?

I think the PP (Phillips Perron) stationarity test is also available in SAS by the way.

You will find papers on KPSS and SAS, but not with CAS I am afraid.

How are your CASL (CAS Language) skills? You can try to write it yourself.

Also why do you absolutely need CAS? You can use the SPRE-engine (compute server) in VIYA and use MP Connect. You can do asynchronously parallel processing with MP CONNECT, just like in SAS 9.4Mx.

Good luck,

Koen

Re: KPSS stationarity test in Viya

sbxkoenk — Sat, 03 Jul 2021 09:52:28 GMT

Hello,