A comparison of two modified stationarity tests. A Monte Carlo study

DOI10.1016/j.matcom.2016.09.010OpenAlexW2530423146MaRDI QIDQ2229023

A. Aznar, M. I. Ayuda, H. Ferrer-Pérez

Publication date: 19 February 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: http://zaguan.unizar.es/record/63059

zbMATH Keywords

Monte Carlo experimentlong-run varianceKPSS teststationarity test\(S_n\) test

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Size and power of tests of stationarity in highly autocorrelated time series
• 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?
• Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative
• Estimating the dimension of a model
• Testing the Null Hypothesis of Stationarity Against an Autoregressive Unit Root Alternative
• MODIFIED KPSS TESTS FOR NEAR INTEGRATION
• Generalizations of the KPSS‐test for stationarity
• Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models