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Spurious rejection of the stationarity hypothesis in the presence of a break point

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  • Rosa Badillo
  • Jorge Belaire-Franch
  • Dulce Contreras

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.

Suggested Citation

  • Rosa Badillo & Jorge Belaire-Franch & Dulce Contreras, 2002. "Spurious rejection of the stationarity hypothesis in the presence of a break point," Applied Economics, Taylor & Francis Journals, vol. 34(15), pages 1917-1923.
    • Handle: RePEc:taf:applec:v:34:y:2002:i:15:p:1917-1923
    DOI: 10.1080/00036840210129400
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    References listed on IDEAS

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    1. Christiano, Lawrence J, 1992. "Searching for a Break in GNP," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 237-250, July.
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