Joint application of the Dickey-Fuller and KPSS tests

Author:

Charemza Wojciech W.,Syczewska Ewa M.

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference6 articles.

1. Amano, R.A., van Norden, S., 1992. Unit-root test and the burden of proof. File ewp-em/9502005 in: http://econwpa.wustl.edu/econ-wp/em/papers/9502/9502005.pdf

2. Distribution of the estimators for autoregressive time series with a unit root;Dickey;Journal of the American Statistical Association,1979

3. Likelihood ratio statistics for autoregressive time series with a unit root;Dickey;Econometrica,1981

4. Isaac, A.G., Rapach, D., 1996. Unit root testing: a collection of procedures. Computer GAUSS code available at http://netec.mcc.ac.uk and http://adnetec/CodEc/GaussAtAmericanU/GAUSSID/HTML

5. Testing the null hypothesis of stationarity against the alternative of a unit root;Kwiatkowski;Journal of Econometrics,1992

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