A note on the size of the KPSS unit root test

DOI10.1016/J.ECONLET.2012.08.019zbMath1283.62235OpenAlexW2005467784MaRDI QIDQ2440430

Yanyan Li

Publication date: 18 March 2014

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2012.08.019

zbMATH Keywords

unit rootfixed-\(b\) asymptoticsKPSS test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)

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?
• The KPSS stationarity test as a unit root test
• Nonparametric tests for unit roots and cointegration.
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• The KPSS Test Using Fixed-b Critical Values: Size and Power in Highly Autocorrelated Time Series

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