Initial conditions and stationarity tests

DOI10.1016/j.econlet.2009.08.028zbMath1181.62123OpenAlexW2040546424MaRDI QIDQ1046303

Fabio Busetti

Publication date: 21 December 2009

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2009.08.028

zbMATH Keywords

stabilityconvergenceconsumer price indexnear unit root

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; economic indices and measures (91B82)

Cites Work

• Size and power of tests of stationarity in highly autocorrelated time series
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• On the power of the KPSS test of stationarity against fractionally-integrated alternatives
• Comparisons of Tests for the Presence of Random Walk Coefficients in a Simple Linear Model
• Towards a unified asymptotic theory for autoregression
• Testing for the Constancy of Parameters Over Time
• Tests for Unit Roots and the Initial Condition
• On Detecting Changes in the Mean of Normal Variates