Does the method of data detrending matter? A study of the KPSS test against long memory alternatives

DOI10.1016/S0165-1765(98)00099-8zbMath0915.90064MaRDI QIDQ1275109

Jen-je Su

Publication date: 12 January 1999

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

long memoryKPSS testdata-detrending

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Related Items (1)

The Sensitivity of Detrended Long-Memory Processes

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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