A robust version of the KPSS test based on indicators

Journal of Econometrics

Volumn 137, Issue 2, 2007, Pages 311-333

  de Jong, Robert M ^a   Amsler, Christine ^b   Schmidt, Peter ^b  

^a OHIO STATE UNIVERSITY   (United States)

^b MICHIGAN STATE UNIVERSITY   (United States)

Author keywords

Asymptotic theory; Time series; Unit root testing

Indexed keywords

ASYMPTOTIC STABILITY; MEASUREMENT ERRORS; METHOD OF MOMENTS; PROBABILITY DISTRIBUTIONS; TIME SERIES ANALYSIS;

ASYMPTOTIC THEORY; MEAN; UNIT ROOT TESTING;

STATISTICAL TESTS;

EID: 33847192441     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2006.01.001     Document Type: Article

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