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?

DOI10.1016/0304-4076(92)90104-YzbMATH Open0871.62100OpenAlexW1588163064WikidataQ105583552 ScholiaQ105583552MaRDI QIDQ675678FDOQ675678

Authors: Denis Kwiatkowski, Peter C. B. Phillips, Peter Schmidt, Yongcheol Shin 

Publication date: 10 March 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(92)90104-y

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zbMATH Keywords

random walkMonte CarloLM testdeterministic trendKPSS testdifference stationaritytrend stationarity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)

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Cited In (only showing first 100 items - show all)

• Cointegration and the joint confirmation hypothesis.
• Stability and non-linear dynamics in the broad demand for money in Spain.
• STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER
• Automated and distributed statistical analysis of economic agent-based models
• Time Series Analysis of Relationships Among Crypto-asset Exchange Rates
• Does the labor-income process contain a unit root? Evidence from individual-specific time series
• Time series forecasting using a two-level multi-objective genetic algorithm: a case study of maintenance cost data for tunnel fans
• Adaptive LASSO for selecting Fourier coefficients in a functional smooth time-varying cointegrating regression: an application to the Feldstein-Horioka puzzle
• Efficient tests for unit roots with prediction errors
• Forecasting of global market prices of major financial instruments
• Tests for the order of integration against higher order integration
• Modeling trading behavior in the Japanese stock market during QE tapering and post-QE exit
• Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending
• Testing the relationships between shadow economy and unemployment: empirical evidence from linear and nonlinear tests
• News and narratives in financial systems: exploiting big data for systemic risk assessment
• Is a small Monte Carlo analysis a good analysis? Checking the size, power and consistency of a simulation-based test
• Low-frequency robust cointegration testing
• A consistent nonparametric test for causality in quantile
• Testing for a unit root in a nonlinear quantile autoregression framework
• Bounded integrated processes and unit root tests
• Exact and asymptotic properties of δ-records in the linear drift model
• Dynamic principal component regression: application to age-specific mortality forecasting
• Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost
• The unbiasedness hypothesis in the freight forward market: Evidence from cointegration tests
• An efficient optimization approach for best subset selection in linear regression, with application to model selection and fitting in autoregressive time-series
• Testing the predictability of U.S. housing price index returns based on an IVX-AR model
• The power of the KPSS-test for cointegration when residuals are fractionally integrated
• Consistent inference for predictive regressions in persistent economic systems
• High-dimensional autocovariance matrices and optimal linear prediction
• Nonparametric cointegration analysis of the nominal interest rate and expected inflation rate
• The ADF-KPSS test of the joint confirmation hypothesis of unit autoregressive root
• The stationarity of consumption-income ratios: evidence from minimum LM unit root testing
• The informational value of unemployment statistics: a note on the time series properties of participation rates
• Testing time-series stationarity against an alternative whose mean is periodic
• On the power of durbin-watson statistic against fractionally integrated processes
• Nonparametric pseudo-Lagrange multiplier stationarity testing
• Panel stationary tests against changes in persistence
• Chaotic characteristics analysis of the sintering process system with unknown dynamic functions based on phase space reconstruction and chaotic invariables
• Inference for modulated stationary processes
• Modified stationarity tests with improved power in small samples
• Stationarity tests for spatial point processes using discrepancies
• Modelling nonlinearities in commodity prices using smooth transition regression models with exogenous transition variables
• Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation
• Nonparametric cointegration analysis of fractional systems with unknown integration orders
• A comparison of two modified stationarity tests. A Monte Carlo study
• Growing cumulative activity of major tropical cyclones: Detection, attribution, and projections
• EU emissions trading scheme, competitiveness and carbon leakage: new evidence from cement and steel industries
• On the Markov switching welfare cost of inflation
• Stationarity testing under nonlinear models. Some asymptotic results
• TESTING FOR STATIONARITY IN HETEROGENEOUS PANEL DATA IN THE CASE OF MODEL MISSPECIFICATION
• Testing for stationarity with covariates: more powerful tests with non-normal errors
• TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION
• A long memory model with normal mixture GARCH
• Cointegration tests on MARS
• A PROOF OF THE POWER OF KIM'S TEST AGAINST STATIONARY PROCESSES WITH STRUCTURAL BREAKS
• ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS
• ARMA AND ARIMA APPROACHES TO THE UNIT ROOT ANALYSIS OF MACRO ECONOMIC VARIABLES
• Pricing longevity-linked securities in the presence of mortality trend changes
• Testing for structural change in cointegrated regression models: some comparisons and generalizations
• ABSENCE OF CHAOS AND 1/f SPECTRA, BUT EVIDENCE OF TAR NONLINEARITIES, IN THE CANADIAN EXCHANGE RATE
• A Review of Nonparametric Time Series Analysis
• Testing stationarity of functional time series
• On wavelet analysis of the \(n\)th order fractional Brownian motion
• Functional-coefficient cointegration models
• The functional central limit theorem for a family of GARCH observations with applications
• The V/S test of long-range dependence in random fields
• Asymptotics for unit root tests under Markov regime‐switching
• Non-renewable resource prices: deterministic or stochastic trends?
• Model selection in reconciling hierarchical time series
• Testing for a deterministic trend when there is evidence of unit root
• Modified KPSS tests for near integration
• A simple panel stationarity test in the presence of serial correlation and a common factor
• Mean group tests for stationarity in heterogeneous panels
• International evidence on the cyclical behavior of inflation
• Testing for a change in persistence in the presence of non-stationary volatility
• Unit root tests in time series. Volume 1. Key concepts and problems
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
• Testing for stationarity at high frequency
• Extracting a common stochastic trend: theory with some applications
• Testing for long-range dependence in the Brazilian term structure of interest rates
• Nonmonotonic power for tests of a mean shift in a time series§
• A REVIEW OF SYSTEMS COINTEGRATION TESTS
• Nonstationary panel data analysis: an overview of some recent developments
• Spurious regression
• Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results
• Estimation of time varying skewness and kurtosis with an application to value at risk
• The market impact of a limit order
• Sequential monitoring for changes from stationarity to mild non-stationarity
• A hierarchical max-infinitely divisible spatial model for extreme precipitation
• The asymptotic behavior of the R/S statistic for fractional Brownian motion
• Time-varying long-range dependence in US interest rates
• A surveillance procedure for random walks based on local linear estimation
• A KPSS Test for Stationarity for Spatial Point Processes
• Recursive estimation in econometrics
• Joint application of the Dickey-Fuller and KPSS tests
• Test for partial parameter instability in regressions with \(I(1)\) processes
• Cointegrating polynomial regressions: fully modified OLS estimation and inference
• Forecasting realized volatility: a review
• Monitoring procedures to detect unit roots and stationarity
• A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks

Uses Software

• Octave

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