KPSS stationarity test in Viya

[Edoedoedo]

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

[sbxkoenk]

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 

[sbxkoenk]

Hello,

See also my previous message.

I have just found out that PROC AUTOREG (SAS/ETS) has the KPSS stationarity (or unit roots) test. I was not aware of that yesterday.

In that case, if you are worried about performance, use PROC AUTOREG with MP CONNECT.

See here for some guidelines on how to use MP CONNECT:

Base SAS + SAS/CONNECT - A simple method to generate load on any number of licensed cores
Posted 04-08-2021 05:46 AM | by SimonWilliams

https://communities.sas.com/t5/SAS-Communities-Library/Base-SAS-SAS-CONNECT-A-simple-method-to-gener...

Good luck,

Koen