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Volumn 51, Issue 2, 1996, Pages 131-137

On the power of stationarity tests using optimal bandwidth estimates

Author keywords

Optimal bandwidth; Stationarity

Indexed keywords


EID: 0030147258     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/0165-1765(96)00810-5     Document Type: Article
Times cited : (34)

References (12)
  • 1
    • 0001758906 scopus 로고
    • Heteroskedasticity and autocorrelation consistent covariance matrix estimation
    • Andrews, D.W.K., 1991, Heteroskedasticity and autocorrelation consistent covariance matrix estimation, Econometrica 59, 817-858.
    • (1991) Econometrica , vol.59 , pp. 817-858
    • Andrews, D.W.K.1
  • 2
    • 0000383942 scopus 로고
    • An improved heteroskedasticity and autocorrelation consistent covariance matrix estimation
    • Andrews, D.W.K. and J.C. Monahan, 1992, An improved heteroskedasticity and autocorrelation consistent covariance matrix estimation, Econometrica 60, 953-966.
    • (1992) Econometrica , vol.60 , pp. 953-966
    • Andrews, D.W.K.1    Monahan, J.C.2
  • 5
    • 38249017848 scopus 로고
    • Some evidence on the accuracy of Phillips-Perron tests using alternative estimates of nuisance parameters
    • Kim, K. and P. Schmidt, 1990, Some evidence on the accuracy of Phillips-Perron tests using alternative estimates of nuisance parameters, Economics Letters 34, 345-350.
    • (1990) Economics Letters , vol.34 , pp. 345-350
    • Kim, K.1    Schmidt, P.2
  • 6
    • 34247480179 scopus 로고
    • 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?
    • Kwiatkowski, D., P.C.B. Phillips, P. Schmidt and Y. Shin, 1992, 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? Journal of Econometrics 54, 159-178.
    • (1992) Journal of Econometrics , vol.54 , pp. 159-178
    • Kwiatkowski, D.1    Phillips, P.C.B.2    Schmidt, P.3    Shin, Y.4
  • 8
    • 84963002108 scopus 로고
    • Automatic lag selection in covariance matrix estimation
    • Newey, W.K. and K.D. West, 1994, Automatic lag selection in covariance matrix estimation, Review of Economic Studies 61, 631-653.
    • (1994) Review of Economic Studies , vol.61 , pp. 631-653
    • Newey, W.K.1    West, K.D.2
  • 9
    • 21844518679 scopus 로고
    • Unit root tests in ARMA models with data-dependent methods for the selection of the truncation lag
    • Ng, S. and P. Perron, 1995, Unit root tests in ARMA models with data-dependent methods for the selection of the truncation lag, Journal of the American Statistical Association 90, 268-281.
    • (1995) Journal of the American Statistical Association , vol.90 , pp. 268-281
    • Ng, S.1    Perron, P.2
  • 11
    • 19044371729 scopus 로고
    • Testing for unit roots in autoregressive-moving average models of unknown order
    • Said, S.E. and D.A. Dickey, 1984, Testing for unit roots in autoregressive-moving average models of unknown order, Biometrika 71, 599-608.
    • (1984) Biometrika , vol.71 , pp. 599-608
    • Said, S.E.1    Dickey, D.A.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.