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A robust version of the KPSS test based on indicators · Study

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ArticleA robust version of the KPSS test based on indicators

Robert M. de Jong2006

Article2006

A robust version of the KPSS test based on indicators

Robert M. de Jong · Christine E. Amsler · Peter Schmidt

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

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Monetary Policy and Economic Impact Complex Systems and Time Series Analysis Diverse Scientific and Economic Studies

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References

1992Testing the null hypothesis of stationarity against the alternative of a unit root 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test 1996Long memory processes and fractional integration in econometrics 1991Long-Term Memory in Stock Market Prices 1989Common Stochastic Trends in a System of Exchange Rates 1982On Unit Roots and the Empirical Modeling of Exchange Rates 1993Long Memory in Foreign-Exchange Rates 1991A Variance-Ratio Test of Random Walks in Foreign Exchange Rates

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2009Long‐run relations in European electricity prices 2006Time-Varying Quantiles 2012Rank tests for short memory stationarity 2021Co-integration with score-driven models: an application to US real GDP growth, US inflation rate, and effective federal funds rate

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Year2006

Typearticle

Published2006-06-12

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations54

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.jeconom.2006.01.001

openalex_workW2032864405

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