The Fragility of the KPSS Stationarity Test
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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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