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Finite-Sample Stability of the KPSS Test
Jönsson, Kristian - 2006
in choosing what test implementation to employ when testing for stationarity in small-sample situations. …
Persistent link: https://www.econbiz.de/10013208507
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Finite-Sample Stability of the KPSS Test
Jönsson, Kristian - Nationalekonomiska Institutionen, Ekonomihögskolan - 2006
in choosing what test implementation to employ when testing for stationarity in small-sample situations. …
Persistent link: https://www.econbiz.de/10005645097
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LM tests for unit roots in the presence of missing observations: small sample evidence1Earlier versions of this paper were presented at the European Meeting of the Econometric Soci...
Toda, Hiro Y.; McKenzie, C.R. - In: Mathematics and Computers in Simulation (MATCOM) 48 (1999) 4, pp. 457-468
hypotheses are considered: a unit root without drift versus level stationarity, and a unit root with drift versus trend … stationarity. Modifications of the tests to account for serially correlated errors are suggested. The small sample size and power …
Persistent link: https://www.econbiz.de/10010749222
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A likelihood ratio test for stationarity of rating transitions
Weißbach, Rafael; Walter, Ronja - 2008
For a time-continuous discrete-state Markov process as model for rating transitions, we study the time-stationarity by …
Persistent link: https://www.econbiz.de/10010300658
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A likelihood ratio test for stationarity of rating transitions
Weißbach, Rafael; Walter, Ronja - Institut für Wirtschafts- und Sozialstatistik, … - 2008
For a time-continuous discrete-state Markov process as model for rating transitions, we study the time-stationarity by …
Persistent link: https://www.econbiz.de/10009216902
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A Simple Panel Stationarity Test in the Presence of Cross-Sectional Dependence
Hadri, Kaddour; Kurozumi, Eiji - Institute of Economic Research, Hitotsubashi University - 2008
This paper develops a simple test for the null hypothesis of stationarity in heterogeneous panel data with cross … KPSS test with the extended LM test under the null of stationarity, under the local alternative and under the fixed …
Persistent link: https://www.econbiz.de/10005675541
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A Simple Panel Stationarity Test in the Presence of Cross-Sectional Dependence
Hadri, Kaddour; Kurozumi, Eiji - Center for Research on Contemporary Economic Systems, … - 2008
This paper develops a simple test for the null hypothesis of stationarity in heterogeneous panel data with cross … KPSS test with the extended LM test under the null of stationarity, under the local alternative and under the fixed …
Persistent link: https://www.econbiz.de/10005748661
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A simple panel stationarity test in the presence of serial correlation and a common factor
Hadri, Kaddour; Kurozumi, Eiji - In: Economics Letters 115 (2012) 1, pp. 31-34
This paper develops a simple test à la Pesaran (2007) for the null hypothesis of stationarity in heterogeneous panel …
Persistent link: https://www.econbiz.de/10011041587
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xtserialpm: a portmanteau test for serial correlation in a linear panel model
Jochmans, Koen; Verardi, Vincenzo - 2019
Persistent link: https://www.econbiz.de/10012699244
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Bayesian unit root test for panel data
Kuma, Jitendra; Afifa, Umme; Chaturvedi, Anoop - 2016
The present paper studies the panel data auto regressive (PAR) time series model for testing the unit root hypothesis. The posterior odds ratio (POR) is derived under appropriate prior assumptions and then empirical analysis is carried out for testing the unit root hypothesis of Net Asset Value...
Persistent link: https://www.econbiz.de/10011853371