kpss test vs adf test

Here u t is a stationary process, and v t is an i.i.d. process with mean 0 and variance σ 2.The null hypothesis is that σ 2 = 0, so that the random walk term c t becomes a constant intercept. The alternative is σ 2 > 0, which introduces the unit root in the random walk.. Variance Ratio Test. The variance ratio test, vratiotest, is based on the fact that the variance of a random walk D6dn1.