Amsler, Christine; Schmidt, Peter - In: Journal of Business & Economic Statistics 30 (2011) 3, pp. 381-390
In this article, we consider the robustness to fat tails of four stationarity tests. We also consider their sensitivity to the number of lags used in long-run variance estimation, and the power of the tests. Lo's modified rescaled range (MR/S) test is not very robust. Choi's Lagrange multiplier...
