Modified stationarity tests with improved power in small samples

DOI10.1007/BF02926021zbMath0821.62050OpenAlexW2058013409MaRDI QIDQ1805539

Jörg Breitung

Publication date: 18 May 1995

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02926021

zbMATH Keywords

moving average modelsunit root processspectral estimatorKPSS statistichypothesis of stationarityMA(1) modelrandom walk componentstwo-step nonparametric correction procedure

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Cites Work

• Unnamed Item
• 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?
• On the power of point optimal tests of the trend stationarity hypothesis
• Testing for a unit root in time series regression
• SOME SIMPLE TESTS OF THE MOVING-AVERAGE UNIT ROOT HYPOTHESIS
• Time Series Regression with a Unit Root

This page was built for publication: Modified stationarity tests with improved power in small samples