A comparison of two modified stationarity tests. A Monte Carlo study

DOI10.1016/J.MATCOM.2016.09.010MaRDI QIDQ2229023zbMATH OpenOpenAlexFDO

Authors H. Ferrer-Pérez, M. I. Ayuda, A. Aznar

Publication date 19 February 2021

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL http://zaguan.unizar.es/record/63059

zbMATH Keywords

\(S_n\) testKPSS testlong-run varianceMonte Carlo experimentstationarity test

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Recommendations

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Cites work

• Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative
• Estimating the dimension of a model
• Generalizations of the KPSS‐test for stationarity
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Modified KPSS tests for near integration
• Size and power of tests of stationarity in highly autocorrelated time series
• Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models
• Testing the null hypothesis of stationarity against an autoregressive unit root alternative
• 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?

Cited in

(1)

• Modified stationarity tests with improved power in small samples

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