Modified KPSS tests for near integration

DOI10.1017/S0266466607070156MaRDI QIDQ2886947zbMATH OpenOpenAlexFDO

Authors David Harris, Stephen Leybourne, Brendan McCabe

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

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Recommendations

• Modified stationarity tests with improved power in small samples
• A note on the size of the KPSS unit root test
• The KPSS test using fixed-b critical values: size and power in highly autocorrelated time series
• On the power of the KPSS test of stationarity against fractionally-integrated alternatives
• Generalizations of the KPSS‐test for stationarity

Cites work

• Automatic Lag Selection in Covariance Matrix Estimation
• Confidence intervals for autoregressive coefficients near one
• Minimizing the impact of the initial condition on testing for unit roots
• Size and power of tests of stationarity in highly autocorrelated time series
• 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?
• Tests for Unit Roots and the Initial Condition

Cited in

(7)

• Spurious logarithms and the KPSS statistic
• A test of the null of integer integration against the alternative of fractional integration
• Evaluation of \(K_{II}\) test specimens using J-integral
• A comparison of two modified stationarity tests. A Monte Carlo study
• Stationarity against integration in the autoregressive process with polynomial trend
• Reducing the size distortion of the KPSS test
• Inner workings of the Kenward-Roger test

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