Consistency of the KPSS unit root test against fractionally integrated alternative

Economics Letters

Volumn 55, Issue 2, 1997, Pages 151-160

  Lee, Hyung S ^a   Amsler, Christine ^b  

^a Regional Economy Division   (South Korea)

^b MICHIGAN STATE UNIVERSITY   (United States)

Author keywords

C12; Nonstationary long memory; Stationarity test statistic; Unit root

Indexed keywords

EID: 0031285273     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1765(97)00066-9     Document Type: Article

References (14)

1. Baillie R.T. Long Memory Processes and Frictional Integration in Econometrics. Journal of Econometrics. 73:1996;5-59.
2. Beran, J., 1994. Statistics for Long-Memory Processes. Chapman and Hall, New York.
3. Dickey D.A., Fuller W.A. Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association. 74:1979;427-431.
4. Granger C.W.J. Long Memory Relationships and the Aggregation of Dynamic Models. Journal of Econometrics. 14:1980;227-238.
5. Granger C.W.J., Joyeux R. An Introduction to Long-Memory Time Series Models and Fractional Differencing. Journal of Time Series Analysis. 1:1980;115-129.
6. Hosking J.R.M. Fractional Differencing. Biametrika. 68:1981;165-176.
7. Kwiatkowski D., Phillips P.C.B., Schmidt P., Shin Y. 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. 54:1992;159-178.
8. Lee D., Schmidt P. On the Power of the KPSS Test of Stationarity Against Fractionally-Integrated Alternatives. Journal of Econometrics. 73:1996;285-302.
9. Lee, H.S., 1995. Analysis of Economic Time Series with Long Memory. Ph.D. dissertation, Michigan State University, East Lansing, MI.
10. Park J.Y., Phillips P.C.B. Statistical Inference in Regressions with Integrated Processes, Part I. Econometric Theory. 4:1988;468-498.
11. Phillips P.C.B., Perron P. Testing for a Unit Root in Time Series Regression. Biometrika. 75:1988;335-346.
12. Schwert G.W. Tests for Unit Roots: A Monte Carlo Investigation. Journal of Business and Economic Studies. 7:1989;147-159.
13. Shin Y., Schmidt P. The KPSS Stationarity Test as a Unit Root Test. Economics Letters. 38:1992;387-392.
14. Sowell F. The Fractional Unit Root Distribution. Econometrica. 58:1990;495-505.