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Persistent link: https://www.econbiz.de/10009702307
This paper proposes a test of the null hypothesis of stationarity that is robust to the presence of fat-tailed errors. The test statistic is a modified version of the KPSS statistic, in which ranks substitute the original observations. The rank KPSS statistic has the same limiting distribution...
Persistent link: https://www.econbiz.de/10013095324
Persistent link: https://www.econbiz.de/10001485384