Showing 1 - 10 of 67
Persistent link: https://www.econbiz.de/10005598606
Persistent link: https://www.econbiz.de/10005760183
Persistent link: https://www.econbiz.de/10005395532
Persistent link: https://www.econbiz.de/10005395561
Persistent link: https://www.econbiz.de/10005375789
Persistent link: https://www.econbiz.de/10005375927
Persistent link: https://www.econbiz.de/10005156004
Persistent link: https://www.econbiz.de/10005169263
Persistent link: https://www.econbiz.de/10009325765
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/10008634613