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-YzbMath0871.62100OpenAlexW1588163064WikidataQ105583552 ScholiaQ105583552MaRDI QIDQ675678

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

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

Monte Carlo random walk difference stationarity LM test deterministic trend KPSS test trend 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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