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-YMaRDI QIDQ675678zbMATHOpenAlexWikidataFDO

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

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

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• TESTING FOR STATIONARITY IN HETEROGENEOUS PANEL DATA IN THE CASE OF MODEL MISSPECIFICATION
• On the Markov switching welfare cost of inflation
• Modified stationarity tests with improved power in small samples
• Testing for stationarity with covariates: more powerful tests with non-normal errors
• 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
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• Forecasting of global market prices of major financial instruments
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• Efficient tests for unit roots with prediction errors
• Testing time-series stationarity against an alternative whose mean is periodic
• Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation
• Stationarity tests for spatial point processes using discrepancies
• Stationarity testing under nonlinear models. Some asymptotic results
• Does the labor-income process contain a unit root? Evidence from individual-specific time series
• Testing the predictability of U.S. housing price index returns based on an IVX-AR model
• Dynamic principal component regression: application to age-specific mortality forecasting
• Nonparametric cointegration analysis of fractional systems with unknown integration orders
• Automated and distributed statistical analysis of economic agent-based models
• Bounded integrated processes and unit root tests
• The power of the KPSS-test for cointegration when residuals are fractionally integrated
• Panel stationary tests against changes in persistence
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• Cointegration and the joint confirmation hypothesis.
• Stability and non-linear dynamics in the broad demand for money in Spain.
• TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION
• Exact and asymptotic properties of δ-records in the linear drift model
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• EU emissions trading scheme, competitiveness and carbon leakage: new evidence from cement and steel industries
• Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost
• STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER
• Growing cumulative activity of major tropical cyclones: Detection, attribution, and projections
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• A sequential procedure for testing the existence of a random walk model in finite samples
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• Unit root and stationarity tests' wedding
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• Bayesian Unit Root Test for Time Series Models with Structural Breaks
• Some results on testing for stationarity using data detrended in differences
• Detailed study of a moving average trading rule
• Bias correction of KPSS test with structural break for reducing of size distortion
• Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics
• A powerful test of the autoregressive unit root hypothesis based on a tuning parameter free statistic
• On the relationship between the theory of cointegration and the theory of phase synchronization
• Micro versus macro cointegration in heterogeneous panels
• Time-varying threshold cointegration with an application to the Fisher hypothesis
• Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics
• THE DYNAMIC RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES: EVIDENCE FOR BRAZIL
• Equity issues and aggregate market returns under information asymmetry
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• Hurst exponent of very long birth time series in XX century Romania. Social and religious aspects
• Testing for a slowly changing level with special reference to stochastic volatility
• Characterising economic trends by Bayesian stochastic model specification search
• Testing for stationarity in series with a shift in the mean. A Fredholm approach
• The effect of additive outliers on a fractional unit root test
• Do UK stock prices deviate from fundamentals?
• Numerical distribution functions for seasonal unit root tests
• Spurious logarithms and the KPSS statistic
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• Rank test of unit‐root hypothesis with AR‐GARCH errors
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• The effects of fiscal policy in a small open economy with a fixed exchange rate
• Consistency of the maximum likelihood estimators for nonstationary ARMA regressions with time trends
• Testing for strict stationarity in a random coefficient autoregressive model
• International mobility of capital in the United States: robust evidence from time-series tests
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• Chaoticity versus stochasticity in financial markets: are daily S\&P 500 return dynamics chaotic?
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• Price discovery, causality and forecasting in the freight futures market
• Deciding between I(1) and I(0)
• Testing the null of stationarity for multiple time series
• German monetary unification and the stability of the German M3 money demand function
• Regression-based analysis of cointegration systems
• Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point
• Cointegrated VARIMA Models: Specification and Simulation
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• Octave

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