The KPSS stationarity test as a unit root test
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Publication:1194710
DOI10.1016/0165-1765(92)90023-RzbMath0800.62531OpenAlexW2053266589MaRDI QIDQ1194710
Publication date: 5 October 1992
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0165-1765(92)90023-r
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)
Related Items (9)
Epicasting: an ensemble wavelet neural network for forecasting epidemics ⋮ A note on the size of the KPSS unit root test ⋮ A test of the null of integer integration against the alternative of fractional integration ⋮ Powerful Unit Root Tests Free of Nuisance Parameters ⋮ TESTING FOR A SHIFT IN TREND AT AN UNKNOWN DATE: A FIXED-B ANALYSIS OF HETEROSKEDASTICITY AUTOCORRELATION ROBUST OLS-BASED TESTS ⋮ A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC ⋮ The asymptotic size and power of the augmented Dickey–Fuller test for a unit root ⋮ Spurious logarithms and the KPSS statistic ⋮ Rescaled variance and related tests for long memory in volatility and levels
Cites Work
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Properties of sequences of partial sums of polynomial regression residuals with applications to tests for change of regression at unknown times
- Testing for unit roots in autoregressive-moving average models of unknown order
- Testing for a unit root in time series regression
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Trends and Random Walks in Macroeconomic Time Series: A Re-Examination
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