On the power of stationarity tests using optimal bandwidth estimates
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Publication:1350544
DOI10.1016/0165-1765(96)00810-5zbMath0875.90184OpenAlexW2085506904MaRDI QIDQ1350544
Publication date: 27 February 1997
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0165-1765(96)00810-5
Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)
Related Items (10)
Size and power of tests of stationarity in highly autocorrelated time series ⋮ Bootstrap LR tests of stationarity, common trends and cointegration ⋮ A sieve bootstrap test for stationarity. ⋮ AUTOMATED DISCOVERY IN ECONOMETRICS ⋮ HAC ESTIMATION BY AUTOMATED REGRESSION ⋮ A test of the null of integer integration against the alternative of fractional integration ⋮ The performance of variance ratio unit root tests under nonlinear stationary TAR and STAR processes: evidence from Monte Carlo simulations and applications ⋮ Blockwise bootstrap testing for stationarity ⋮ Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison ⋮ The fragility of the KPSS stationarity test
Cites Work
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- 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?
- Some evidence on the accuracy of Phillips-Perron tests using alternative estimates of nuisance parameter
- A simple test for parameter constancy in a nonlinear time series regression model
- Testing for unit roots in autoregressive-moving average models of unknown order
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Optimal Kernel Weights Under a Power Criterion
- Automatic Lag Selection in Covariance Matrix Estimation
- Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
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