Generalizations of the KPSS-test for stationarity

被引：95

作者：

Hobijn, B ^{[1
]}

Franses, PH

Ooms, M

机构：

[1] Fed Reserve Bank New York, Domest Reserve Funct, New York, NY 10045 USA

[2] Erasmus Univ, Inst Econometr, NL-3000 DR Rotterdam, Netherlands

[3] Vrije Univ Amsterdam, Dept Econometr & Operat Res, NL-1081 HV Amsterdam, Netherlands

[4] Vrije Univ Amsterdam, Tinbergen Inst, NL-1081 HV Amsterdam, Netherlands

来源：

STATISTICA NEERLANDICA | 2004年 / 58卷 / 04期

关键词：

stationarity test; rate of consistency; long run variance; bandwidth selection; time series; heteroskedasticity and autocorrelation consistent covariance estimation; Choi's test; Leybourne and McCabe's test;

D O I：

10.1111/j.1467-9574.2004.00272.x

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We propose automatic generalizations of the KPSS-test for the null hypothesis of stationarity of a univariate time series. We can use these tests for the null hypotheses of trend stationarity, level stationarity and zero mean stationarity. We introduce the asymptotic null distributions and we determine consistency against relevant nonstationary alternatives. We compare the properties of the tests with those of other proposed tests for stationarity. Monte Carlo simulations support the relevance of the tests when an autoregressive process with large positive autocorrelations is likely under the null hypothesis.

引用

页码：483 / 502

页数：20

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