Does the method of data detrending matter? A study of the KPSS test against long memory alternatives
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Publication:1275109
DOI10.1016/S0165-1765(98)00099-8zbMath0915.90064MaRDI QIDQ1275109
Publication date: 12 January 1999
Published in: Economics Letters (Search for Journal in Brave)
Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)
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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?
- A simple test for parameter constancy in a nonlinear time series regression model
- Some results on testing for stationarity using data detrended in differences
- On the power of the KPSS test of stationarity against fractionally-integrated alternatives
- On the Theory of Testing for Unit Roots in Observed Time Series
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Long-Term Memory in Stock Market Prices
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