The KPSS test using fixed-b critical values: size and power in highly autocorrelated time series

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

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Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cited In (9)

• The KPSS test with outliers
• A note on the size of the KPSS unit root test
• Spurious logarithms and the KPSS statistic
• Testing the power of a generalization of the KPSS-tests against fractionally integrated hypotheses
• Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term
• The KPSS test with seasonal dummies
• 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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