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?
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Publication:675678
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
Recommendations
Applications of statistics to economics (62P20) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)
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- Hurst exponent of very long birth time series in XX century Romania. Social and religious aspects
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- Price discovery, causality and forecasting in the freight futures market
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