On the power of stationarity tests using optimal bandwidth estimates

DOI10.1016/0165-1765(96)00810-5zbMath0875.90184OpenAlexW2085506904MaRDI QIDQ1350544

Junsoo Lee

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

zbMATH Keywords

Optimal bandwidthStationarity

Mathematics Subject Classification ID

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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