On the power of the KPSS test of stationarity against fractionally-integrated alternatives

DOI10.1016/0304-4076(95)01741-0MaRDI QIDQ1922367zbMATHOpenAlexFDO

Authors Yanyan Li

Publication date 24 February 1997

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(95)01741-0

zbMATH Keywords

fractional integrationshort memory processnull hypothesis of stationaritystationary long memory alternatives

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• The power of the KPSS-test for cointegration when residuals are fractionally integrated
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• The fragility of the KPSS stationarity test
• Generalizations of the KPSS‐test for stationarity
• Finite‐sample power of the Durbin–Watson test against fractionally integrated disturbances
• On the robustness of cointegration tests when series are fractionally intergrated
• A comparison of semiparametric tests for fractional cointegration
• The power of residual-based tests for cointegration when residuals are fractionally integrated

Cites work

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• The Fitting of Time-Series Models
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• Time Series Regression with a Unit Root
• Weak convergence to fractional brownian motion and to the rosenblatt process

Cited in

(57)

• Detecting long-range dependence for time-varying linear models
• A moment-based notion of time dependence for functional time series
• Testing for stationarity at high frequency
• A test of the null of integer integration against the alternative of fractional integration
• A robust version of the KPSS test based on indicators
• The sensitivity of detrended long-memory processes
• Consistent inference for predictive regressions in persistent economic systems
• Estimation of time varying skewness and kurtosis with an application to value at risk
• Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices
• On the power of \(R\)/\(S\)-type tests under contiguous and semi-long memory alternatives
• Long memory story of the real interest rate
• A regime switching long memory model for electricity prices
• Sequentially Updated Residuals and Detection of Stationary Errors in Polynomial Regression Models
• Initial conditions and stationarity tests
• Generalizations of the KPSS‐test for stationarity
• Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks
• Rank tests for short memory stationarity
• The V/S test of long-range dependence in random fields
• The power of the KPSS-test for cointegration when residuals are fractionally integrated
• Detection of stationary errors in multiple regressions with integrated regressors and cointegration
• A PROOF OF THE POWER OF KIM'S TEST AGAINST STATIONARY PROCESSES WITH STRUCTURAL BREAKS
• Note on bandwidth selection in testing for long range dependence.
• The rescaled variance statistic and the determination of the Hurst exponent
• Rescaled variance and related tests for long memory in volatility and levels
• Spurious logarithms and the KPSS statistic
• TESTING FOR LONG MEMORY
• Reducing the size distortion of the KPSS test
• Strong dependence in the nominal exchange rates of the Polish zloty
• Local asymptotic powers of nonparametric and semiparametric tests for fractional integration
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• The fragility of the KPSS stationarity test
• Time-varying long-range dependence in US interest rates
• Testing fractional unit roots with non-linear smooth break approximations using Fourier functions
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• Infant mortality rates: time trends and fractional integration
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• Testing the power of a generalization of the KPSS-tests against fractionally integrated hypotheses
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• Does the method of data detrending matter? A study of the KPSS test against long memory alternatives
• Technology shocks and hours worked: a fractional integration perspective
• scientific article; zbMATH DE number 7578267 (Why is no real title available?)

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