Modified Kpss Tests For Near Integration
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Cited by:
- Anton Skrobotov, 2013. "On GLS-detrending for deterministic seasonality testing," Working Papers 0073, Gaidar Institute for Economic Policy, revised 2014.
- David O. Cushman, 2012. "Mankiw vs. DeLong and Krugman on the CEA's Real GDP Forecasts in Early 2009: What Might a Time Series Econometrician Have Said?," Econ Journal Watch, Econ Journal Watch, vol. 9(3), pages 309-349, September.
- Anton Skrobotov, 2015.
"Trend and Initial Condition in Stationarity Tests: The Asymptotic Analysis,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(2), pages 254-273, April.
- Anton Skrobotov, 2012. "Trend and initial condition in stationarity tests: the asymptotic analysis," Working Papers 0048, Gaidar Institute for Economic Policy, revised 2013.
- Eiji Kurozumi & Shinya Tanaka, 2010.
"Reducing the size distortion of the KPSS test,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 31(6), pages 415-426, November.
- Eiji Kurozumi & Shinya Tanaka, 2009. "Reducing the Size Distortion of the KPSS Test," Global COE Hi-Stat Discussion Paper Series gd09-085, Institute of Economic Research, Hitotsubashi University.
- Anton Skrobotov, 2013. "Local Structural Trend Break in Stationarity Testing," Working Papers 0074, Gaidar Institute for Economic Policy, revised 2013.
- Cho, Cheol-Keun & Amsler, Christine & Schmidt, Peter, 2015. "A test of the null of integer integration against the alternative of fractional integration," Journal of Econometrics, Elsevier, vol. 187(1), pages 217-237.
- Lujia Bai & Weichi Wu, 2021. "Detecting long-range dependence for time-varying linear models," Papers 2110.08089, arXiv.org, revised Mar 2023.
- Ferrer-Pérez, H. & Ayuda, M.I. & Aznar, A., 2017. "A comparison of two modified stationarity tests. A Monte Carlo study," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 134(C), pages 28-36.
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