Unit root and stationarity tests' wedding

DOI10.1016/S0165-1765(00)00348-7zbMath0968.91026OpenAlexW2080300233MaRDI QIDQ1589594

M. A. Ortuño, Andreu Sansó i Rosselló, Josep Lluís Carrion-i-Silvestre

Publication date: 12 December 2000

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

Full work available at URL: https://doi.org/10.1016/s0165-1765(00)00348-7

zbMATH Keywords

unit rootMonte Carlo experimentskoint confirmation hypothesisKPSS

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (4)

The ADF-KPSS test of the joint confirmation hypothesis of unit autoregressive root ⋮ A sequential procedure for testing the existence of a random walk model in finite samples ⋮ Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison ⋮ Cointegration and the joint confirmation hypothesis.

Cites Work

• Unnamed Item
• 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?
• Joint application of the Dickey-Fuller and KPSS tests
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for a unit root in time series regression
• Automatic Lag Selection in Covariance Matrix Estimation
• Generalizations of the KPSS‐test for stationarity
• Time Series Regression with a Unit Root
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

This page was built for publication: Unit root and stationarity tests' wedding