The ADF-KPSS test of the joint confirmation hypothesis of unit autoregressive root

DOI10.1016/j.econlet.2004.04.013zbMath1255.62253OpenAlexW2131870593MaRDI QIDQ1927613

Piotr Kȩbłowski, Aleksander Welfe

Publication date: 1 January 2013

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2004.04.013

zbMATH Keywords

joint distributionMonte Carlo experimentsDickey-Fullerjoint confirmation hypothesis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)

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?
• Joint application of the Dickey-Fuller and KPSS tests
• Unit root and stationarity tests' wedding
• Cointegration and the joint confirmation hypothesis.
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• A Small Sample Correction of the Dickey–Fuller Test