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)

• DYNAMIC PRINCIPAL COMPONENT REGRESSION: APPLICATION TO AGE-SPECIFIC MORTALITY FORECASTING
• 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
• Time series forecasting using a two-level multi-objective genetic algorithm: a case study of maintenance cost data for tunnel fans
• Testing the Predictability of U.S. Housing Price Index Returns Based on an IVX-AR Model
• 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
• Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost
• The vector innovations structural time series framework
• 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 Covariance Stationarity
• 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
• Is normal backwardation normal? Valuing financial futures with a local index-rate covariance
• 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
• 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
• SOME LIMIT THEORY FOR AUTOCOVARIANCES WHOSE ORDER DEPENDS ON SAMPLE SIZE
• 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
• 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

Uses Software

• Octave

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