Trend and initial condition in stationarity tests: the asymptotic analysis
Year of publication: |
2012
|
---|---|
Authors: | Skrobotov, Anton |
Institutions: | Gaidar Institute for Economic Policy |
Subject: | Stationarity test | KPSS test | uncertainty over the trend | uncertainty over the initial condition | size distortion | intersection of rejection decision rule |
-
Finite-Sample Stability of the KPSS Test
Jönsson, Kristian, (2006)
-
Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion - in Russian
Skrobotov, Anton, (2012)
-
Skrobotov, Anton, (2014)
- More ...
-
Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion - in Russian
Skrobotov, Anton, (2012)
-
Skrobotov, Anton, (2014)
-
Double Unit Roots Testing, GLS-detrending and Uncertainty over the Initial Conditions
Skrobotov, Anton, (2013)
- More ...