Testing The Null Hypothesis Of Stationarity Against The Alternative Of A Unit Root In Panel Data With Serially Correlated Errors

By K. Hadri. 1999

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Citations in the corpus

Testing for long memory in the presence of a general trend (2001, methodology): “Our results can, however, be easily formulated in terms of the modified R/S statistic and other related statistics, like the KPSS statistic of Kwiatkowski et al. (1992).”
Estimation and inference with non-stationary panel time-series data. (2001, background): “KPSS like variants, where the null is cointegration, rather than lack of cointegration, are given in McCoskey and Kao (1998) and Hadri (1999).”
Oil Price Shocks, Income, and Democracy (2012, background): “The Kwiatkowski et al. (1992) test rejects the stationarity of oil price levels at the 95% confidence level (but does not reject the stationarity of the first-differenced oil price at the 90% confidence level).4 And the Andrews and Zivot (1992) test, which allows for a structural break in the mean…”
FDI and Growth : a Causal Relationship (2005, methodology): “To check for the robustness of the ADF test results, the KPSS test described in Kwiatkowski et al. (1992) is also reported.”
Nexus between foreign direct investment and economic growth in Bangladesh: an augmented autoregressive distributed lag bounds testing approach (2020, methodology): “To test the null hypothesis that yt is covariance stationary or that is I(0), Kwiatkowski et al. (1992) suggested that whether or not σ2μ is equal to zero should be tested by employing the following test statistic: LM ¼ 1 T2 PT t¼1M 2 t σ̂2 ; ð7Þ where Mt ¼ Pt i¼1ei is the least squares residual…”
The Contribution of Agricultural Sector on Economic Growth of Nigeria (2017, methodology): “This procedure was developed by Kwiatkowski et al. (1992). The KPSS test hypotheses are the direct inverse of ADF and PP, where the null hypothesis (H0) states that the series is stationary while the alternative (H1) says non stationary.”
ON THE CAUSALITY BETWEEN FOREIGN DIRECT INVESTMENT AND OUTPUT: A COMPARATIVE STUDY (2001, methodology): “…of the VAR order k (Judge et al., 1986).6 Since it is now well known that the augmented Dickey-Fuller (ADF) tests have notoriously low power, we rely on the tests of Kwiatkowski et al. (1992), in which the null is “ stationarity,” to determine the maximum order of integration of each series.”
A SVECM Analysis of the Relationship between International Tourism Arrivals, GDP and Trade in Italy (2013, methodology): “On the other hand, we apply the KPSS (Kwiatkowski et al. 1992) procedure where the hypotheses are interchanged.”
The Rise of the Super-Rich (2012, methodology): “Dickey-Fuller tests the null hypothesis of a unit root and KPSS tests the null of stationarity.”
Energy consumption, employment, output, and temporal causality: evidence from Taiwan based on cointegration and error-correction modelling techniques (2001, methodology): “Several tests for the presence of unit roots in time-series data have appeared in literature [see, for example, Dickey and Fuller (1979, 1981), Phillips and Perron (1988), Kwiatkowski et al. (1992)].”