The KPSS Test Using Fixed-b Critical Values: Size and Power in Highly Autocorrelated Time Series

DOI10.2202/1941-1928.1027zbMath1266.62058OpenAlexW2075446822MaRDI QIDQ4928512

No author found.

Publication date: 14 June 2013

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

Full work available at URL: https://doi.org/10.2202/1941-1928.1027

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (4)

A note on the size of the KPSS unit root test ⋮ A test of the null of integer integration against the alternative of fractional integration ⋮ Stationarity testing under nonlinear models. Some asymptotic results ⋮ Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term

This page was built for publication: The KPSS Test Using Fixed-b Critical Values: Size and Power in Highly Autocorrelated Time Series