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

DOI10.2202/1941-1928.1027MaRDI QIDQ4928512zbMATH OpenOpenAlexFDO

Authors

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

Mathematics Subject Classification ID

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

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Cited in

(16)

• The fragility of the KPSS stationarity test
• Size and power of tests of stationarity in highly autocorrelated time series
• A fixed-\(b\) perspective on the Phillips-Perron unit root tests
• 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
• A comparison of the robustness of several tests of short memory to autocorrelated errors
• Modified KPSS tests for near integration
• Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term
• The power of the KPSS-test for cointegration when residuals are fractionally integrated
• 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
• Reducing the size distortion of the KPSS test
• The finite sample distribution of the KPSS test

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