Reducing size distortions of parametric stationarity tests

DOI10.1111/1467-9892.00314zbMath1036.62083OpenAlexW2063990879MaRDI QIDQ4455659

Pentti Saikkonen, Markku Lanne

Publication date: 16 March 2004

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/3986

zbMATH Keywords

size distortionsinflation rateparametric stationarity tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items (4)

MONITORING PROCEDURES TO DETECT UNIT ROOTS AND STATIONARITY ⋮ Stationarity against integration in the autoregressive process with polynomial trend ⋮ Reducing the size distortion of the KPSS test ⋮ The fragility of the KPSS stationarity test

Cites Work

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• 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?
• Time series: theory and methods
• Generalizations of the KPSS‐test for stationarity

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