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Spurious Rejection of the Stationarity Hypothesis in the Presence of a Break Point

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Author Info
Badillo, Rosa
Belaire-Franch, Jorge
Contreras, Dulce

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Abstract

It is shown that KPSS and LMC tests may be seriously biased when there is a shift in the level or in the trend of the time series under study. Copyright 2002 by Taylor and Francis Group

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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Economics.

Volume (Year): 34 (2002)
Issue (Month): 15 (October)
Pages: 1917-23
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Handle: RePEc:taf:applec:v:34:y:2002:i:15:p:1917-23

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