The fragility of the KPSS stationarity test

DOI10.1007/s10260-010-0130-3zbMath1333.62205MaRDI QIDQ257549

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 test; nearly-white noise nearly integrated model; size distortion

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

91B84: Economic time series analysis

65C40: Numerical analysis or methods applied to Markov chains

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Cites Work

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