On the power of the KPSS test of stationarity against fractionally-integrated alternatives
From MaRDI portal
Publication:1922367
DOI10.1016/0304-4076(95)01741-0zbMath0856.62075OpenAlexW1966964362MaRDI QIDQ1922367
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
fractional integrationshort memory processnull hypothesis of stationaritystationary long memory alternatives
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (40)
Modelling structural breaks, long memory and stock market volatility: an overview ⋮ A regime switching long memory model for electricity prices ⋮ An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series ⋮ Local asymptotic powers of nonparametric and semiparametric tests for fractional integration ⋮ Long memory processes and fractional integration in econometrics ⋮ The power of the KPSS-test for cointegration when residuals are fractionally integrated ⋮ KPSS test for functional time series ⋮ The V/S test of long-range dependence in random fields ⋮ Comparison of non-parametric and semi-parametric tests in detecting long memory ⋮ Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost ⋮ Sequentially Updated Residuals and Detection of Stationary Errors in Polynomial Regression Models ⋮ Infant mortality rates: time trends and fractional integration ⋮ Detecting changes from short to long memory ⋮ Long memory story of the real interest rate ⋮ A test of the null of integer integration against the alternative of fractional integration ⋮ Time-varying long-range dependence in US interest rates ⋮ On the power of underdifferencing and overdifferencing tests against nearly nonstationary alternatives ⋮ Bootstrapping long memory tests: some Monte Carlo results ⋮ Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk ⋮ Testing for Long Memory Using Penalized Splines and Adaptive Neyman Methods ⋮ A bootstrap-based KPSS test for functional time series ⋮ Strong dependence in the nominal exchange rates of the Polish zloty ⋮ Unnamed Item ⋮ Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices ⋮ Testing stationarity of functional time series ⋮ Consistent inference for predictive regressions in persistent economic systems ⋮ TESTING FOR LONG MEMORY ⋮ Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks ⋮ 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 ⋮ Local Asymptotic Distributions of Stationarity Tests ⋮ Initial conditions and stationarity tests ⋮ A moment-based notion of time dependence for functional time series ⋮ Detection of Stationary Errors in Multiple Regressions with Integrated Regressors and Cointegration ⋮ On the power of durbin-watson statistic against fractionally integrated processes ⋮ The rescaled variance statistic and the determination of the Hurst exponent ⋮ Note on bandwidth selection in testing for long range dependence. ⋮ Testing fractional unit roots with non-linear smooth break approximations using Fourier functions ⋮ The Sensitivity of Detrended Long-Memory Processes ⋮ Rescaled variance and related tests for long memory in volatility and levels
Cites Work
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- 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?
- Long memory relationships and the aggregation of dynamic models
- Properties of sequences of partial sums of polynomial regression residuals with applications to tests for change of regression at unknown times
- Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
- The Fitting of Time-Series Models
- Non-strong mixing autoregressive processes
- The Fractional Unit Root Distribution
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Fractional differencing
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Weak convergence to fractional brownian motion and to the rosenblatt process
- Long-Term Memory in Stock Market Prices
- Time Series Regression with a Unit Root
- On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
- Fractional Brownian Motions, Fractional Noises and Applications
- Unnamed Item
This page was built for publication: On the power of the KPSS test of stationarity against fractionally-integrated alternatives
