Size improvement of the KPSS test using sieve bootstraps
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Publication:694931
DOI10.1016/J.ECONLET.2012.04.054zbMATH Open1255.62135OpenAlexW2046575806MaRDI QIDQ694931FDOQ694931
Publication date: 19 December 2012
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2012.04.054
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Cites Work
- Asymptotics for linear processes
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES
- Sieve bootstrap for smoothing in nonstationary time series
- A Sieve Bootstrap For The Test Of A Unit Root
- 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?
- Size and power of tests of stationarity in highly autocorrelated time series
- Automatic Lag Selection in Covariance Matrix Estimation
- Generalizations of the KPSS‐test for stationarity
- Reducing the size distortion of the KPSS test
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