A PROOF OF THE POWER OF KIM'S TEST AGAINST STATIONARY PROCESSES WITH STRUCTURAL BREAKS

DOI10.1017/S0266466605050589MaRDI QIDQ3377448zbMATH OpenOpenAlexFDO

Authors Jorge Belaire-Franch

Publication date 22 March 2006

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466605050589

Mathematics Subject Classification ID

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

Recommendations

• On stationary tests in the presence of structural breaks
• A NOTE ON BUSETTI-HARVEY TESTS FOR STATIONARITY IN SERIES WITH STRUCTURAL BREAKS
• On the power of the KPSS test of stationarity against fractionally-integrated alternatives
• FURTHER COMMENTS ON STATIONARITY TESTS IN SERIES WITH STRUCTURAL BREAKS AT UNKNOWN POINTS
• A parametric stationarity test with smooth breaks
• RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES
• Generalizations of the KPSS‐test for stationarity

Cites work

• Detection of change in persistence of a linear time series
• On stationary tests in the presence of structural breaks
• 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 of stationarity against a change in persistence

Cited in

(3)

• Detecting changes from short to long memory
• Testing for a break in persistence under long-range dependencies and mean shifts
• ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES

This page was built for publication: A PROOF OF THE POWER OF KIM'S TEST AGAINST STATIONARY PROCESSES WITH STRUCTURAL BREAKS

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3377448)