The fragility of the KPSS stationarity test

DOI10.1007/S10260-010-0130-3zbMATH Open1333.62205OpenAlexW1972010304MaRDI QIDQ257549FDOQ257549

Nunzio Cappuccio, Diego Lubian

Publication date: 17 March 2016

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-010-0130-3

zbMATH Keywords

KPSS stationarity testnearly-white noise nearly integrated modelsize distortion

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Numerical analysis or methods applied to Markov chains (65C40) Asymptotic distribution theory in statistics (62E20) Economic time series analysis (91B84)

Cites Work

• Asymptotics for linear processes
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Comparisons of Tests for the Presence of Random Walk Coefficients in a Simple Linear Model
• Testing for a unit root in time series regression
• 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?
• Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative
• Local asymptotic distribution related to the AR(1) model with dependent errors
• On the power of stationarity tests using optimal bandwidth estimates
• Size and power of tests of stationarity in highly autocorrelated time series
• Local Asymptotic Distributions of Stationarity Tests
• Testing for Deterministic Linear Trend in Time Series
• Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Automatic Lag Selection in Covariance Matrix Estimation
• Reducing size distortions of parametric stationarity tests
• Generalizations of the KPSS‐test for stationarity
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
• Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models

Cited In (2)

• Fréchet differentiability in statistical inference for time series
• On the power of the KPSS test of stationarity against fractionally-integrated alternatives

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