The fragility of the KPSS stationarity test
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Tadeusz Bednarski, 2010. "Fréchet differentiability in statistical inference for time series," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 19(4), pages 517-528, November.
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More about this item
KeywordsKPSS stationarity test; Size distortion; Nearly-white noise nearly integrated model;
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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