Finite Sample Critical Values of the Generalized KPSS Stationarity Test
Testing for stationarity and unit roots has become standard practice in time series analysis and while many tests have known asymptotic properties, their small sample performance is sometimes less-well understood. Researchers rely on response surface regressions to provide small sample critical valu...
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| Veröffentlicht in: | Computational economics 2017-06, Vol.50 (1), p.161-172 |
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| creator | Sephton, Peter |
| description | Testing for stationarity and unit roots has become standard practice in time series analysis and while many tests have known asymptotic properties, their small sample performance is sometimes less-well understood. Researchers rely on response surface regressions to provide small sample critical values for use in applied work. In this paper an updated series of Monte Carlo experiments provides response surface estimates of the critical 1, 5, and 10 % values of the Kwiatkowski et al. (J Econ 54: 91–115,
1992
) test of stationarity and its generalization by Hobijn et al. (Stat Neerlandica 58(4): 483–502,
2004
). |
| doi_str_mv | 10.1007/s10614-016-9586-z |
| format | Article |
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1992
) test of stationarity and its generalization by Hobijn et al. (Stat Neerlandica 58(4): 483–502,
2004
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1992
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2004
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1992
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2004
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| language | eng |
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| source | SpringerLink Journals - AutoHoldings |
| subjects | Asymptotic properties Behavioral/Experimental Economics Computer Appl. in Social and Behavioral Sciences Economic models Economic Theory/Quantitative Economics/Mathematical Methods Economics Economics and Finance Estimates Math Applications in Computer Science Mathematical analysis Monte Carlo simulation Operations Research/Decision Theory Regression analysis Roots Time series Unit roots Values |
| title | Finite Sample Critical Values of the Generalized KPSS Stationarity Test |
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