A robust version of the KPSS test based on indicators
By R. Jong, Christine E. Amsler, P. Schmidt. 2007
54 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/94e55e957430d78bd996178d0d89a0d12212a829
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Gregory Rice
- Lajos Horv'ath
- Piotr Kokoszka
- Alexander Aue
- Xianyang Zhang
- Anne van Delft
- Matthew Reimherr
- Han Lin Shang
In Finance
- Gregory Rice
- Lajos Horv'ath
- Piotr Kokoszka
- Alexander Aue
- Christian Francq
- Jean-Michel Zakoian
- S. Ling
- Liudas Giraitis
Citations in the corpus
- Testing stationarity of functional time series (2014, background): “At present, both the augmented Dickey–Fuller test and the KPSS test, as well as its robust version of de Jong et al. (1997), are typically applied to the same series to get a fuller picture.”