The ADF-KPSS test of the joint confirmation hypothesis of unit autoregressive root
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Publication:1927613
DOI10.1016/j.econlet.2004.04.013zbMath1255.62253OpenAlexW2131870593MaRDI QIDQ1927613
Piotr Kȩbłowski, Aleksander Welfe
Publication date: 1 January 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2004.04.013
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)
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?
- Joint application of the Dickey-Fuller and KPSS tests
- Unit root and stationarity tests' wedding
- Cointegration and the joint confirmation hypothesis.
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- A Small Sample Correction of the Dickey–Fuller Test