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

DOI10.1016/0304-4076(95)01741-0zbMATH Open0856.62075OpenAlexW1966964362MaRDI QIDQ1922367FDOQ1922367

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

Recommendations

• The power of the KPSS-test for cointegration when residuals are fractionally integrated
• Testing the power of a generalization of the KPSS-tests against fractionally integrated hypotheses
• 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

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)

Cites Work

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Cited In (52)

• The KPSS test using fixed-b critical values: size and power in highly autocorrelated time series
• A PROOF OF THE POWER OF KIM'S TEST AGAINST STATIONARY PROCESSES WITH STRUCTURAL BREAKS
• Bootstrapping long memory tests: some Monte Carlo results
• Detecting long-range dependence for time-varying linear models
• Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks
• KPSS test for functional time series
• On the power of \(R\)/\(S\)-type tests under contiguous and semi-long memory alternatives
• Title not available (Why is that?)
• Spurious logarithms and the KPSS statistic
• Testing stationarity of functional time series
• Testing the power of a generalization of the KPSS-tests against fractionally integrated hypotheses
• The V/S test of long-range dependence in random fields
• Testing fractional unit roots with non-linear smooth break approximations using Fourier functions
• Long memory processes and fractional integration in econometrics
• Does the method of data detrending matter? A study of the KPSS test against long memory alternatives
• Note on bandwidth selection in testing for long range dependence.
• Strong dependence in the nominal exchange rates of the Polish zloty
• Infant mortality rates: time trends and fractional integration
• A comparison of the robustness of several tests of short memory to autocorrelated errors
• Modified KPSS tests for near integration
• A regime switching long memory model for electricity prices
• Local asymptotic powers of nonparametric and semiparametric tests for fractional integration
• Rescaled variance and related tests for long memory in volatility and levels
• Technology shocks and hours worked: a fractional integration perspective
• Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost
• Estimation of time varying skewness and kurtosis with an application to value at risk
• Testing the stationarity of economic time series: further Monte Carlo evidence
• The power of the KPSS-test for cointegration when residuals are fractionally integrated
• Time-varying long-range dependence in US interest rates
• Consistent inference for predictive regressions in persistent economic systems
• Comparison of non-parametric and semi-parametric tests in detecting long memory
• Detection of stationary errors in multiple regressions with integrated regressors and cointegration
• On the power of durbin-watson statistic against fractionally integrated processes
• Testing for Long Memory Using Penalized Splines and Adaptive Neyman Methods
• The sensitivity of detrended long-memory processes
• A moment-based notion of time dependence for functional time series
• Long memory story of the real interest rate
• Local Asymptotic Distributions of Stationarity Tests
• Sequentially Updated Residuals and Detection of Stationary Errors in Polynomial Regression Models
• Initial conditions and stationarity tests
• A test of the null of integer integration against the alternative of fractional integration
• A bootstrap-based KPSS test for functional time series
• On the power of underdifferencing and overdifferencing tests against nearly nonstationary alternatives
• Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices
• TESTING FOR LONG MEMORY
• Modelling structural breaks, long memory and stock market volatility: an overview
• Detecting changes from short to long memory
• Reducing the size distortion of the KPSS test
• Generalizations of the KPSS‐test for stationarity
• An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
• The finite sample distribution of the KPSS test
• The rescaled variance statistic and the determination of the Hurst exponent

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