Joint application of the Dickey-Fuller and KPSS tests

DOI10.1016/S0165-1765(98)00149-9zbMath0911.90072OpenAlexW2080490438WikidataQ127174160 ScholiaQ127174160MaRDI QIDQ1274775

Wojciech W. Charemza, Ewa M. Syczewska

Publication date: 12 January 1999

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

Full work available at URL: https://doi.org/10.1016/s0165-1765(98)00149-9

zbMATH Keywords

nonstationarityunit rootsjoint hypotheses testing

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Related Items (8)

Testing for long-range dependence in the Brazilian term structure of interest rates ⋮ The ADF-KPSS test of the joint confirmation hypothesis of unit autoregressive root ⋮ Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity ⋮ A sequential procedure for testing the existence of a random walk model in finite samples ⋮ Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results ⋮ Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison ⋮ Unit root and stationarity tests' wedding ⋮ Cointegration and the joint confirmation hypothesis.

Cites Work

• 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?
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

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