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)

• A long memory model with normal mixture GARCH
• Cointegration tests on MARS
• A PROOF OF THE POWER OF KIM'S TEST AGAINST STATIONARY PROCESSES WITH STRUCTURAL BREAKS
• ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS
• ARMA AND ARIMA APPROACHES TO THE UNIT ROOT ANALYSIS OF MACRO ECONOMIC VARIABLES
• Testing for structural change in cointegrated regression models: some comparisons and generalizations
• ABSENCE OF CHAOS AND 1/f SPECTRA, BUT EVIDENCE OF TAR NONLINEARITIES, IN THE CANADIAN EXCHANGE RATE
• A Review of Nonparametric Time Series Analysis
• Testing stationarity of functional time series
• On wavelet analysis of the \(n\)th order fractional Brownian motion
• Functional-coefficient cointegration models
• The functional central limit theorem for a family of GARCH observations with applications
• The V/S test of long-range dependence in random fields
• Asymptotics for unit root tests under Markov regime‐switching
• Non-renewable resource prices: deterministic or stochastic trends?
• A Hierarchical Max-Infinitely Divisible Spatial Model for Extreme Precipitation
• Model selection in reconciling hierarchical time series
• Testing for a deterministic trend when there is evidence of unit root
• Modified KPSS tests for near integration
• A simple panel stationarity test in the presence of serial correlation and a common factor
• Mean group tests for stationarity in heterogeneous panels
• International evidence on the cyclical behavior of inflation
• Testing for a change in persistence in the presence of non-stationary volatility
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
• Testing for stationarity at high frequency
• Extracting a common stochastic trend: theory with some applications
• Testing for long-range dependence in the Brazilian term structure of interest rates
• Nonmonotonic power for tests of a mean shift in a time series§
• A REVIEW OF SYSTEMS COINTEGRATION TESTS
• Nonstationary panel data analysis: an overview of some recent developments
• Spurious regression
• ASYMPTOTIC NORMALITY FOR WEIGHTED SUMS OF LINEAR PROCESSES
• Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results
• Estimation of time varying skewness and kurtosis with an application to value at risk
• The market impact of a limit order
• Sequential monitoring for changes from stationarity to mild non-stationarity
• The asymptotic behavior of the R/S statistic for fractional Brownian motion
• Time-varying long-range dependence in US interest rates
• A surveillance procedure for random walks based on local linear estimation
• A KPSS Test for Stationarity for Spatial Point Processes
• Recursive estimation in econometrics
• Joint application of the Dickey-Fuller and KPSS tests
• Test for partial parameter instability in regressions with \(I(1)\) processes
• Forecasting realized volatility: a review
• Monitoring procedures to detect unit roots and stationarity
• A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks
• SOME SIMPLE TESTS OF THE MOVING-AVERAGE UNIT ROOT HYPOTHESIS
• How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?
• THE IMPOSSIBILITY OF CONSISTENT DISCRIMINATION BETWEEN I(0) AND I(1) PROCESSES
• A comparison between minimum variance control and other online compensation methods for specimen drift in transmission electron microscopy
• Demand shocks and trade balance dynamics
• Long memory story of the real interest rate
• Sequentially Updated Residuals and Detection of Stationary Errors in Polynomial Regression Models
• Asset prices with non-permanent shocks to consumption
• DETECTION OF NONCONSTANT LONG MEMORY PARAMETER
• Structural changes and unit roots in non-stationary time series
• A test of the null of integer integration against the alternative of fractional integration
• Rank tests for short memory stationarity
• PRICING LONGEVITY-LINKED SECURITIES IN THE PRESENCE OF MORTALITY TREND CHANGES
• COINTEGRATING POLYNOMIAL REGRESSIONS: FULLY MODIFIED OLS ESTIMATION AND INFERENCE
• Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices
• TESTING FOR LONG MEMORY
• Detecting changes from short to long memory
• Impact of foreign exchange rate on oil companies risk in stock market: a Markov-switching approach
• Long-memory exchange rate dynamics in the Euro era
• The increment ratio statistic
• A new nonparametric stability test with an application to major Chinese macroeconomic time series
• Reducing the size distortion of the KPSS test
• Testing the unit root hypothesis using generalized range statistics
• Statistical testing of Chargaff's second parity rule in bacterial genome sequences
• Breaking the panels: An application to the GDP per capita
• Testing for a rational bubble under long memory
• Fully modified estimation of seasonally cointegrated processes
• STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
• Rescaled variance tests for seasonal stationarity
• Robust inference in nonstationary time series models
• Scale effects in endogenous growth theory: an error of aggregation not specification
• 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

Uses Software

• Octave

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