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)

Cites Work

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

• The fragility of the KPSS stationarity test
• Size and power of tests of stationarity in highly autocorrelated time series
• A pair-wise approach to testing for output and growth convergence
• Most stringent test of null of cointegration: a Monte Carlo comparison
• Testing for ar(1) against ima(1,1) disturbances in the linear regression model
• Testing the nominal-to-real transformation
• Variance ratio tests of the seasonal unit root hypothesis
• Tests for covariance stationarity and white noise, with an application to Euro/US dollar exchange rate: An approach based on the evolutionary spectral density
• Testing for an unstable root in conditional and structural error correction models
• Testing for stationarity in heterogeneous panel data where the time dimension is finite
• Testing for the Null Hypothesis of Cointegration with a Structural Break
• Multivariate trend function testing with mixed stationary and integrated disturbances
• Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
• Resampling methods in econometrics
• A robust version of the KPSS test based on indicators
• A simple, robust and powerful test of the trend hypothesis
• Bootstrap LR tests of stationarity, common trends and cointegration
• On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
• Testing the null of cointegration in the presence of a structural break
• Estimation of Hurst exponent revisited
• Nonparametric nonstationarity tests
• Econometric analysis of linearized singular dynamic stochastic general equilibrium models
• Testing for stationarity with a break
• Time series properties of ARCH processes with persistent covariates
• Long memory processes and fractional integration in econometrics
• Detection of change in persistence of a linear time series
• On the power of stationarity tests using optimal bandwidth estimates
• Fréchet differentiability in statistical inference for time series
• What do interest rates reveal about the functioning of real business cycle models ?
• Nonlinearity, nonstationarity, and spurious forecasts
• A regime switching long memory model for electricity prices
• Stability tests in error correction models
• Long memory and stochastic trend.
• Structural breaks in time series
• No-cointegration test based on fractional differencing: Some Monte Carlo results
• Testing of unit root and other nonstationary hypotheses in macroeconomic time series
• Tests for nonlinear cointegration
• A CUSUM test for cointegration using regression residuals
• Nonparametric tests for unit roots and cointegration.
• Rescaled variance and related tests for long memory in volatility and levels
• On the power of the KPSS test of stationarity against fractionally-integrated alternatives
• Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes
• A unified approach to testing for stationarity of unit roots
• Testing for a unit root in the presence of a variance shift
• A residual based test for the null hypothesis of cointegration.
• Testing for a unit root in the presence of a possible break in trend
• Asymptotics of tests for a unit root in autoregression
• A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS
• Tests for seasonal unit roots. General to specific or specific to general?
• Some limit theory for autocovariances whose order depends on sample size
• ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES
• Modified tests for a change in persistence
• On tests for changes in persistence
• Tests of stationarity against a change in persistence
• Data-driven local polynomial for the trend and its derivatives in economic time series
• Testing for a unit root in time series regression
• The KPSS test with seasonal dummies
• Testing stationarity under a permanent variance shift
• Estimating deterministic trends with an integrated or stationary noise component
• Local Asymptotic Distributions of Stationarity Tests
• Tests for a change in persistence against the null of difference‐stationarity
• Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root
• Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
• Test for the null hypothesis of cointegration with reduced size distortion
• SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
• The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study
• Pairwise Tests of Purchasing Power Parity
• TESTING FOR TREND
• Modelling structural breaks, long memory and stock market volatility: an overview
• The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test
• Reducing size distortions of parametric stationarity tests
• On the Theory of Testing for Unit Roots in Observed Time Series
• Bootstrapping unit root tests with covariates
• Penalised inference for lagged dependent regression in the presence of autocorrelated residuals
• The double-gap life expectancy forecasting model
• Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison
• Generalizations of the KPSS‐test for stationarity
• Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes
• Nonlinear error correction models
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Subsampling in testing autocovariance for periodically correlated time series
• EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
• 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

Uses Software

• Octave

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