Generalizations of the KPSS-test for stationarity

Statistica Neerlandica

Volumn 58, Issue 4, 2004, Pages 483-502

  Hobijn, Bart ^a   Franses, Philip Hans ^b   Ooms, Marius ^c  

^a FEDERAL RESERVE BANK OF NEW YORK   (United States)

^b ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

^c VU UNIVERSITY AMSTERDAM   (Netherlands)

Author keywords

Bandwidth selection; Choi's test; Heteroskedasticity and autocorrelation consistent covariance estimation; Leybourne and McCabe's test; Long run variance; Rate of consistency; Stationarity test; Time series

Indexed keywords

EID: 10944241103     PISSN: 00390402     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9574.2004.00272.x     Document Type: Article

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