The fragility of the KPSS stationarity test

DOI10.1007/s10260-010-0130-3zbMath1333.62205OpenAlexW1972010304MaRDI QIDQ257549

Nunzio Cappuccio, Diego Lubian

Publication date: 17 March 2016

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-010-0130-3

zbMATH Keywords

KPSS stationarity testnearly-white noise nearly integrated modelsize distortion

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Economic time series analysis (91B84) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (1)

Fréchet differentiability in statistical inference for time series

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
• Asymptotics for linear processes
• Local asymptotic distribution related to the AR(1) model with dependent errors
• On the power of stationarity tests using optimal bandwidth estimates
• Comparisons of Tests for the Presence of Random Walk Coefficients in a Simple Linear Model
• Local Asymptotic Distributions of Stationarity Tests
• Testing for Deterministic Linear Trend in Time Series
• Testing for a unit root in time series regression
• Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Automatic Lag Selection in Covariance Matrix Estimation
• Reducing size distortions of parametric stationarity tests
• Generalizations of the KPSS‐test for stationarity
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
• Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models

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