Size and power of tests of stationarity in highly autocorrelated time series
From MaRDI portal
Publication:265023
DOI10.1016/j.jeconom.2004.08.012zbMath1337.62224OpenAlexW3121217699MaRDI QIDQ265023
Publication date: 1 April 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://ux-tauri.unisg.ch/RePEc/usg/dp2002/dp0226mueller_ganz.pdf
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
Related Items (21)
MODIFIED KPSS TESTS FOR NEAR INTEGRATION ⋮ Confidence sets for the date of a single break in linear time series regressions ⋮ A simple, robust and powerful test of the trend hypothesis ⋮ A theory of robust long-run variance estimation ⋮ Testing for stationarity at high frequency ⋮ Stationarity test based on density approach ⋮ Low-frequency robust cointegration testing ⋮ A comparison of two modified stationarity tests. A Monte Carlo study ⋮ A test of the null of integer integration against the alternative of fractional integration ⋮ The performance of variance ratio unit root tests under nonlinear stationary TAR and STAR processes: evidence from Monte Carlo simulations and applications ⋮ Size improvement of the KPSS test using sieve bootstraps ⋮ Stationarity against integration in the autoregressive process with polynomial trend ⋮ Sequential monitoring for changes from stationarity to mild non-stationarity ⋮ THE IMPOSSIBILITY OF CONSISTENT DISCRIMINATION BETWEEN I(0) AND I(1) PROCESSES ⋮ Reducing the size distortion of the KPSS test ⋮ ON THE ALTERNATIVE LONG-RUN VARIANCE RATIO TEST FOR A UNIT ROOT ⋮ Monitoring procedures for strict stationarity based on the multivariate characteristic function ⋮ Initial conditions and stationarity tests ⋮ The asymptotic size and power of the augmented Dickey–Fuller test for a unit root ⋮ Ratio tests under limiting normality ⋮ The fragility of the KPSS stationarity test
Cites Work
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- 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?
- Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
- Asymptotic inference for nearly nonstationary AR(1) processes
- Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative
- Properties of sequences of partial sums of polynomial regression residuals with applications to tests for change of regression at unknown times
- On the power of stationarity tests using optimal bandwidth estimates
- Asymptotic approximations in the near‐integrated model with a non‐zero initial condition
- A General Approach to the Limiting Distribution for Estimators in Time Series Regression with Nonstable Autoregressive Errors
- Testing for a unit root in time series regression
- Towards a unified asymptotic theory for autoregression
- Testing for the Constancy of Parameters Over Time
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Generalizations of the KPSS‐test for stationarity
- HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
- Efficient Tests for an Autoregressive Unit Root
- Tests for Unit Roots and the Initial Condition
- Confidence intervals for autoregressive coefficients near one
This page was built for publication: Size and power of tests of stationarity in highly autocorrelated time series
