The KPSS test using fixed-b critical values: size and power in highly autocorrelated time series
From MaRDI portal
(Redirected from Publication:4928512)
Recommendations
- A note on the size of the KPSS unit root test
- The fragility of the KPSS stationarity test
- Size and power of tests of stationarity in highly autocorrelated time series
- On the power of the KPSS test of stationarity against fractionally-integrated alternatives
- Modified stationarity tests with improved power in small samples
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
This page was built for publication: The KPSS test using fixed-b critical values: size and power in highly autocorrelated time series
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4928512)
