MODIFIED KPSS TESTS FOR NEAR INTEGRATION
From MaRDI portal
Publication:2886947
DOI10.1017/S0266466607070156zbMath1274.62593OpenAlexW3121558310MaRDI QIDQ2886947
No author found.
Publication date: 14 May 2012
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466607070156
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
Related Items
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 ⋮ Stationarity against integration in the autoregressive process with polynomial trend ⋮ Reducing the size distortion of the KPSS test
Cites Work
- Size and power of tests of stationarity in highly autocorrelated time series
- Minimizing the impact of the initial condition on testing for unit roots
- 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?
- Automatic Lag Selection in Covariance Matrix Estimation
- Tests for Unit Roots and the Initial Condition
- Confidence intervals for autoregressive coefficients near one
