SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

On the power of the KPSS test of stationarity against fractionally-integrated alternatives · Study

ArticleShelves

ArticleOn the power of the KPSS test of stationarity against fractionally-integrated alternatives

Peter Schmidt1996

Article1996

On the power of the KPSS test of stationarity against fractionally-integrated alternatives

425 citations·0/0 files stored·Journal of Econometrics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Complex Systems and Time Series Analysis Monetary Policy and Economic Impact Time Series Analysis and Forecasting

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 425 citations exist upstream.

References

1992Testing the null hypothesis of stationarity against the alternative of a unit root 1968Fractional Brownian Motions, Fractional Noises and Applications 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1987Time Series Regression with a Unit Root 1981Fractional Differencing 1991Long-Term Memory in Stock Market Prices 1980Long memory relationships and the aggregation of dynamic models

Cited by

2004Modelling structural breaks, long memory and stock market volatility: an overview 2013Commodity futures and market efficiency 2005An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series 2002Long memory in stock returns: some international evidence 2002A Fractional Dickey-Fuller Test for Unit Roots 2012A SVECM Analysis of the Relationship between International Tourism Arrivals, GDP and Trade in Italy

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

1994Chapter 46 Unit roots, structural breaks and trendschapter · 11 shared references 2004Modelling structural breaks, long memory and stock market volatility: an overviewarticle · 9 shared references 1996Time-Series-Based Econometricsbook · 8 shared references 1997Another look at long memory in common stock returnsarticle · 8 shared references 2003ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTSarticle · 8 shared references 1996Long memory processes and fractional integration in econometricsarticle · 7 shared references

Details

Year1996

Typearticle

Published1996-07-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations425

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

Identifiers

doi10.1016/0304-4076(95)01741-0

openalex_workW1966964362

Links

Imported from OpenAlex (CC0) — nothing here is generated.

1998A Nonparametric Test for I(0)

2001Inflation and rates of return on stocks: evidence from high inflation countries