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A robust version of the KPSS test based on indicators

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Author Info
de Jong, Robert M.
Amsler, Christine
Schmidt, Peter

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File URL: http://www.sciencedirect.com/science/article/B6VC0-4K18VXV-1/2/bc172be58ca658a476a825419be15378
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Publisher Info
Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 137 (2007)
Issue (Month): 2 (April)
Pages: 311-333
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Handle: RePEc:eee:econom:v:137:y:2007:i:2:p:311-333

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Web page: http://www.elsevier.com/locate/jeconom

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  1. Matteo Pelagatti & Pranab Sen, 2009. "A robust version of the KPSS test based on ranks," Working Papers 20090701, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica. [Downloadable!]
  2. DeRossi, G. & Harvey, A., 2006. "Time-Varying Quantiles," Cambridge Working Papers in Economics 0649, Faculty of Economics, University of Cambridge. [Downloadable!]
  3. Busetti, F. & Harvey, A., 2008. "When is a copula constant? A test for changing relationships," Cambridge Working Papers in Economics 0841, Faculty of Economics, University of Cambridge. [Downloadable!]
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This page was last updated on 2009-12-9.

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