Generalizations of the KPSS‐test for stationarity

DOI10.1111/j.1467-9574.2004.00272.xzbMath1061.62136OpenAlexW2099467635MaRDI QIDQ4665354

Marius Ooms, Philip Hans Franses, Bart Hobijn

Publication date: 11 April 2005

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9574.2004.00272.x

zbMATH Keywords

time seriesbandwidth selectionautocorrelationheteroskedasticitystationarity testlong run variancerate of consistencyChoi's testLeybourne and McCabe's test

Mathematics Subject Classification ID

Related Items (19)

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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?
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