MODIFIED KPSS TESTS FOR NEAR INTEGRATION
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Publication:2886947
DOI10.1017/S0266466607070156zbMath1274.62593MaRDI QIDQ2886947
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Publication date: 14 May 2012
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466607070156
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M07: Non-Markovian processes: hypothesis testing
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Stationarity against integration in the autoregressive process with polynomial trend, A test of the null of integer integration against the alternative of fractional integration, A comparison of two modified stationarity tests. A Monte Carlo study, Reducing the size distortion of the KPSS test
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