1,721,069 research outputs found
Analisi di un'equazione strutturale: specificazione, stima e verifica dell'ipotesi di esogenità
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Items “Modelli di scelta discreta”, “Regressione”, “Serie storiche”, “Stima”, “Verifica d'ipotesi”
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The Fragility of the KPSS Stationarity Test
No full textStationarity tests exhibit extreme size distortions if the observable process is stationary yet highly persistent. In this paper we provide a theoretical explanation
for the size distortion of the K PSS test for DGPs with a broad range of first order autocorrelation coefficient. Considering a near-integrated, nearly stationary process
we show that the asymptotic distribution of the test contains an additional term, which can potentially explain the amount of size distortion documented in previous simulation
studies
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