Pelagatti, Matteo; Sen, Pranab - Dipartimento di Statistica, Università degli Studi di … - 2009
This paper proposes a test of the null hypothesis of stationarity that is robust to the presence of fat-tailed errors. The test statistic is a modified version of the KPSS statistic, in which ranks substitute the original observations. The rank KPSS statistic has the same limiting distribution...