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On the Power of the KPSS Test of Stationarity Against Fractionally-Integrated Alternatives

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Author Info
Lee, D.
Schmidt, P.

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Abstract

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Publisher Info
Paper provided by Michigan State - Econometrics and Economic Theory in its series Papers with number 9111.

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Length: 19 pages
Date of creation: 1993
Date of revision:
Handle: RePEc:fth:mistet:9111

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Postal: MICHIGAN STATE UNIVERSITY, DEPARTMENT OF ECONOMICS, EAST LANSING MICHIGAN 48824 U.S.A.
Phone: 517.355.7583
Fax: 517.432.1068
Web page: http://www.msu.edu/~ec/
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Keywords: econometrics ; econometric models;

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  1. Laura Mayoral, 2005. "Further evidence on the statistical properties of Real GNP," Economics Working Papers 955, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2006. [Downloadable!]
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  2. L. Giraitis & P. Kokoszka & R. Leipus & G. Teyssiere, . "Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity," Sonderforschungsbereich 373 1999-81, Humboldt Universitaet Berlin.
  3. Christopher F Baum & John Barkoulas, 2002. "Dynamics of Intra-EMS Interest Rate Linkages," Computing in Economics and Finance 2002 13, Society for Computational Economics. [Downloadable!]
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  4. 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!]
  5. Jonathan Dark, 2004. "Long memory in the volatility of the Australian All Ordinaries Index and the Share Price Index futures," Monash Econometrics and Business Statistics Working Papers 5/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  6. Elkin Castaño & Karoll Gómez & Santiago Gallón, 2008. "Una nueva prueba para el parámetro de diferenciación fraccional," Revista Colombiana de Estadística, REVISTA COLOMBIANA DE ESTADISTICA. [Downloadable!]
  7. G. Teyssiere, . "Long-Memory Analysis," Sonderforschungsbereich 373 2000-57, Humboldt Universitaet Berlin.
  8. Niels Haldrup & Morten O. Nielsen, 2004. "A Regime Switching Long Memory Model for Electricity Prices," Economics Working Papers 2004-2, School of Economics and Management, University of Aarhus. [Downloadable!]
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  9. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2009. "Long Memory in US Real Output per Capita," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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  10. G. K. Randolph TAN, 2004. "Long Memory in Import and Export Price Inflation and Persistence of Shocks to the Terms of Trade," Econometric Society 2004 Far Eastern Meetings 732, Econometric Society. [Downloadable!]
  11. M. Ooms & J.A. Doornik, 1999. "Inference and forecasting for fractional autoregressive integrated moving average models; with an application to US and UK inflation," Econometric Institute Report 171, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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  12. Luis Alberiko Gil-Alana & Antonio Moreno, . "Technology Shocks and Hours Worked: A Fractional Integration Perspective," Faculty Working Papers 03/06, School of Economics and Business Administration, University of Navarra. [Downloadable!]
  13. Wei Liu & Alex Maynard, 2007. "A New Application of Exact Nonparametric Methods to Long-Horizon Predictability Tests," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(1), pages 1376-1376. [Downloadable!] (restricted)
  14. Sibbertsen, Philipp & Krämer, Walter, 2005. "The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-318, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
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  15. Laura Mayoral, 2005. "Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks," Economics Working Papers 956, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
  16. Luis A. Gil-Alana & Antonio Moreno, 2009. "Fractional Integration and Structural Breaks in U.S. Macro Dynamics," Faculty Working Papers 02/09, School of Economics and Business Administration, University of Navarra. [Downloadable!]
  17. Haldrup; Niels & Morten Oerregaard Nielsen, 2005. "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Economics Working Papers 2005-18, School of Economics and Management, University of Aarhus. [Downloadable!]
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  18. Geetesh Bhardwaj & Norman Swanson, 2004. "An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series," Departmental Working Papers 200422, Rutgers University, Department of Economics. [Downloadable!]
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  19. Luis Alberiko Gil-Alana & Pedro Garcia-del-Barrio, . "New Revelations about Unemployment Persistence in Spain," Faculty Working Papers 10/06, School of Economics and Business Administration, University of Navarra. [Downloadable!]
  20. Anthony Murphy & Marwan Izzeldin, 2006. "Bootstrapping long memory tests: some Monte Carlo results," Working Papers 003091, Lancaster University Management School, Economics Department. [Downloadable!]
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  21. Jen-Je Su, 2003. "On the power of the multivariate KPSS test of stationarity against fractionally integrated alternatives," Applied Economics Letters, Taylor and Francis Journals, vol. 10(10), pages 637-641, August. [Downloadable!] (restricted)
  22. John Barkoulas & Christopher F. Baum, 1997. "Long Memory and Forecasting in Euroyen Deposit Rates," Boston College Working Papers in Economics 361, Boston College Department of Economics. [Downloadable!]
  23. Michael Kühl, 2008. "Strong comovements of exchange rates: Theoretical and empirical cases when currencies become the same asset," cege – Center for European, Governance and Economic Development Research Discussion Papers 76, cege – Center for European, Governance and Economic Development Research, University of Goettingen (Germany)., revised 03 Sep 2008. [Downloadable!]
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