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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Cites work

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Cited in

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• The double-gap life expectancy forecasting model
• Most stringent test of null of cointegration: a Monte Carlo comparison
• Nonparametric nonstationarity tests
• Reducing size distortions of parametric stationarity tests
• On the Theory of Testing for Unit Roots in Observed Time Series
• Testing for a unit root in the presence of a variance shift
• EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
• On the power of stationarity tests using optimal bandwidth estimates
• Detection of change in persistence of a linear time series
• No-cointegration test based on fractional differencing: Some Monte Carlo results
• Multivariate trend function testing with mixed stationary and integrated disturbances
• Testing stationarity under a permanent variance shift
• What do interest rates reveal about the functioning of real business cycle models ?
• Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
• Resampling methods in econometrics
• SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
• A robust version of the KPSS test based on indicators
• Nonlinearity, nonstationarity, and spurious forecasts
• A regime switching long memory model for electricity prices
• Some limit theory for autocovariances whose order depends on sample size
• A simple, robust and powerful test of the trend hypothesis
• Testing for stationarity in heterogeneous panel data where the time dimension is finite
• Econometric analysis of linearized singular dynamic stochastic general equilibrium models
• Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison
• Generalizations of the KPSS‐test for stationarity
• Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes
• Pairwise Tests of Purchasing Power Parity
• Testing for stationarity with a break
• Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes
• Testing for the Null Hypothesis of Cointegration with a Structural Break
• Tests for covariance stationarity and white noise, with an application to Euro/US dollar exchange rate: An approach based on the evolutionary spectral density
• A residual based test for the null hypothesis of cointegration.
• Stability tests in error correction models
• Time series properties of ARCH processes with persistent covariates
• Fréchet differentiability in statistical inference for time series
• TESTING FOR TREND
• A CUSUM test for cointegration using regression residuals
• Nonparametric tests for unit roots and cointegration.
• Testing of unit root and other nonstationary hypotheses in macroeconomic time series
• Rescaled variance and related tests for long memory in volatility and levels
• Modified tests for a change in persistence
• On tests for changes in persistence
• Tests of stationarity against a change in persistence
• The KPSS test with seasonal dummies
• Bootstrapping unit root tests with covariates
• Modelling structural breaks, long memory and stock market volatility: an overview
• Testing for ar(1) against ima(1,1) disturbances in the linear regression model
• The fragility of the KPSS stationarity test
• Nonlinear error correction models
• Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root
• Data-driven local polynomial for the trend and its derivatives in economic time series
• Bootstrap LR tests of stationarity, common trends and cointegration
• Long memory processes and fractional integration in econometrics
• Estimating deterministic trends with an integrated or stationary noise component
• Size and power of tests of stationarity in highly autocorrelated time series
• Asymptotics of tests for a unit root in autoregression
• Long memory and stochastic trend.
• Testing for a unit root in the presence of a possible break in trend
• On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
• Penalised inference for lagged dependent regression in the presence of autocorrelated residuals
• Testing for a unit root in time series regression
• The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test
• A pair-wise approach to testing for output and growth convergence
• Local Asymptotic Distributions of Stationarity Tests
• Test for the null hypothesis of cointegration with reduced size distortion
• A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS
• Testing the nominal-to-real transformation
• Variance ratio tests of the seasonal unit root hypothesis
• On the power of the KPSS test of stationarity against fractionally-integrated alternatives
• Estimation of Hurst exponent revisited
• Testing the null of cointegration in the presence of a structural break
• Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
• A unified approach to testing for stationarity of unit roots
• The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study
• Structural breaks in time series
• Tests for nonlinear cointegration
• Testing for an unstable root in conditional and structural error correction models
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES
• Tests for a change in persistence against the null of difference‐stationarity
• Tests for seasonal unit roots. General to specific or specific to general?
• Subsampling in testing autocovariance for periodically correlated time series
• Nonparametric sequential prediction of time series
• Testing for stationarity in heterogeneous panel data in the presence of cross-section dependence
• LONG MEMORY IN FINANCIAL TIME SERIES DATA WITH NON-GAUSSIAN DISTURBANCES
• A sequential procedure for testing the existence of a random walk model in finite samples
• A NOTE ON BUSETTI-HARVEY TESTS FOR STATIONARITY IN SERIES WITH STRUCTURAL BREAKS
• Unit root and stationarity tests' wedding
• A simple testing procedure for unit root and model specification
• Spectral approach to parameter-free unit root testing
• 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

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