Response surface estimates of the KPSS stationarity test

Response surface estimates of the KPSS stationarity test

A series of Monte Carlo experiments provide the basis for response surface estimates of approximate critical 1%, 5%, and 10% values of the Kwiatkowski et al. test of stationarity. The methodological approach closely follows MacKinnon.

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Bibliographische Detailangaben
Veröffentlicht in:Economics letters 1995, Vol.47 (3), p.255-261
1. Verfasser: Sephton, Peter S.
Format: Artikel
Sprache:eng
Schlagworte:
Monte Carlo
Response surface
Stationarity tests
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Beschreibung
Zusammenfassung:A series of Monte Carlo experiments provide the basis for response surface estimates of approximate critical 1%, 5%, and 10% values of the Kwiatkowski et al. test of stationarity. The methodological approach closely follows MacKinnon.
ISSN:0165-1765
1873-7374
DOI:10.1016/0165-1765(94)00561-F