Modified KPSS tests for near integration
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Publication:2886947
DOI10.1017/S0266466607070156zbMATH Open1274.62593OpenAlexW3121558310MaRDI QIDQ2886947FDOQ2886947
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
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
Cites Work
- 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?
- Size and power of tests of stationarity in highly autocorrelated time series
- Automatic Lag Selection in Covariance Matrix Estimation
- Tests for Unit Roots and the Initial Condition
- Confidence intervals for autoregressive coefficients near one
- Minimizing the impact of the initial condition on testing for unit roots
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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