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)

• THE DYNAMIC RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES: EVIDENCE FOR BRAZIL
• Title not available (Why is that?)
• On stationary tests in the presence of structural breaks
• Testing power-law cross-correlations: rescaled covariance test
• German monetary unification and the stability of the German M3 money demand function
• International mobility of capital in the United States: robust evidence from time-series tests
• The impact of the initial condition on robust tests for a linear trend
• Spurious logarithms and the KPSS statistic
• Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
• Micro versus macro cointegration in heterogeneous panels
• A NOTE ON BUSETTI-HARVEY TESTS FOR STATIONARITY IN SERIES WITH STRUCTURAL BREAKS
• Hurst exponent of very long birth time series in XX century Romania. Social and religious aspects
• Characterising economic trends by Bayesian stochastic model specification search
• The effect of additive outliers on a fractional unit root test
• Numerical distribution functions for seasonal unit root tests
• Price discovery, causality and forecasting in the freight futures market
• Testing for stationarity in heterogeneous panel data in the presence of cross-section dependence
• The effects of fiscal policy in a small open economy with a fixed exchange rate
• Chaoticity versus stochasticity in financial markets: are daily S\&P 500 return dynamics chaotic?
• Does the method of data detrending matter? A study of the KPSS test against long memory alternatives
• Some results on testing for stationarity using data detrended in differences
• On the relationship between the theory of cointegration and the theory of phase synchronization
• Testing for stationarity in series with a shift in the mean. A Fredholm approach
• Do UK stock prices deviate from fundamentals?
• Testing for strict stationarity in a random coefficient autoregressive model
• Price level trend-stationarity and the instruments and targets of monetary policy: An empirical note
• LONG MEMORY IN FINANCIAL TIME SERIES DATA WITH NON-GAUSSIAN DISTURBANCES
• Traders' networks of interactions and structural properties of financial markets: an agent-based approach
• Bayesian Unit Root Test for Time Series Models with Structural Breaks
• Testing the null of stationarity for multiple time series
• Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics
• Testing for a slowly changing level with special reference to stochastic volatility
• Deciding between I(1) and I(0)
• Bayesian Comparison of ARIMA and Stationary ARMA Models
• Regression-based analysis of cointegration systems
• A simple testing procedure for unit root and model specification
• Spectral approach to parameter-free unit root testing
• On the power of point optimal tests of the trend stationarity hypothesis
• Methods of analyzing nonstationary time series with implicit changes in their properties
• A powerful test of the autoregressive unit root hypothesis based on a tuning parameter free statistic
• Two simple tests of the trend hypothesis under time-varying variance
• Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point
• Equity issues and aggregate market returns under information asymmetry
• Do Latin American Central Bankers Behave Non-Linearly? The Experiences of Brazil, Chile, Colombia and Mexico
• Nonparametric sequential prediction of time series
• Time-varying threshold cointegration with an application to the Fisher hypothesis
• 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
• Rank test of unit‐root hypothesis with AR‐GARCH errors
• Consistency of the maximum likelihood estimators for nonstationary ARMA regressions with time trends
• A Lagrange multiplier stationarity test using covariates
• Detailed study of a moving average trading rule
• Cointegrated VARIMA Models: Specification and Simulation
• A sequential procedure for testing the existence of a random walk model in finite samples
• Unit root and stationarity tests' wedding
• Time Dependent Relative Risk Aversion
• 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
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• 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

Uses Software

• Octave

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