Add to ORKGThe effects of incorrect specification of an instantaneous break when the true data generating process displays a smooth transition trend are analysed. A modified LBI stationarity test-with an (exogeneously determined) logistic trend- is studied, and an approximate Fredholm approach is used to derive its asymptotic null distribution. An asymptotic power analysis for the proposed test is carried out, and results of a number of Monte Carlo simulations, designed with a view to analyse the behaviour of the test in finite samples are reported. An application to testing stationarity of interest rate differential between Spain and Germany is included
In this paper, we study the asymptotic behaviour of several test statistics of the null hypothesis o...
This paper proposes a simple panel stationarity test which takes into account structural shifts and ...
In this paper, we study the asymptotic behaviour of several test statistics of the null hypothesis o...
The framework of stationarity testing is extended to allow a generic smooth trend function estimated...
We consider tests of null hypothesis of stationarity against a unit root alternative when the series...
The paper develops a test with the null of stationarity that allows for the possibility of an unknow...
In this paper we analyze the effects of a very general class of time-varying variances on well-known...
Macroeconomic variables have been shown to display a wide variety of structural breaks of unknown nu...
We propose a (trend) stationarity test with a good finite sample size even when a process is (trend)...
Macroeconomic variables have been shown to display a wide variety of structural breaks of unknown nu...
Since standard tests for mean reversion in real exchange rates may lack power with data spanning the...
Since standard tests for mean reversion in real exchange rates may lack power with data spanning the...
This paper proposes residual-based tests for the null of level- and trend-stationarity, which are an...
We propose automatic generalizations of the KPSS-test for the null hypothesis of stationarity of a u...
It is common in applied econometrics to test a highly persistent process under the null hypothesis a...
In this paper, we study the asymptotic behaviour of several test statistics of the null hypothesis o...
This paper proposes a simple panel stationarity test which takes into account structural shifts and ...
In this paper, we study the asymptotic behaviour of several test statistics of the null hypothesis o...
The framework of stationarity testing is extended to allow a generic smooth trend function estimated...
We consider tests of null hypothesis of stationarity against a unit root alternative when the series...
The paper develops a test with the null of stationarity that allows for the possibility of an unknow...
In this paper we analyze the effects of a very general class of time-varying variances on well-known...
Macroeconomic variables have been shown to display a wide variety of structural breaks of unknown nu...
We propose a (trend) stationarity test with a good finite sample size even when a process is (trend)...
Macroeconomic variables have been shown to display a wide variety of structural breaks of unknown nu...
Since standard tests for mean reversion in real exchange rates may lack power with data spanning the...
Since standard tests for mean reversion in real exchange rates may lack power with data spanning the...
This paper proposes residual-based tests for the null of level- and trend-stationarity, which are an...
We propose automatic generalizations of the KPSS-test for the null hypothesis of stationarity of a u...
It is common in applied econometrics to test a highly persistent process under the null hypothesis a...
In this paper, we study the asymptotic behaviour of several test statistics of the null hypothesis o...
This paper proposes a simple panel stationarity test which takes into account structural shifts and ...
In this paper, we study the asymptotic behaviour of several test statistics of the null hypothesis o...