The KPSS Test Using Fixed-b Critical Values: Size and Power in Highly Autocorrelated Time Series
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Publication:4928512
DOI10.2202/1941-1928.1027zbMATH Open1266.62058OpenAlexW2075446822MaRDI QIDQ4928512FDOQ4928512
Author name not available (Why is that?)
Publication date: 14 June 2013
Published in: Journal of Time Series Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2202/1941-1928.1027
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
Cited In (5)
- A note on the size of the KPSS unit root test
- Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term
- A test of the null of integer integration against the alternative of fractional integration
- Stationarity testing under nonlinear models. Some asymptotic results
- The finite sample distribution of the KPSS test
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