Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate
By Mehmet Caner, Lutz Kilian. 2001
241 citations recorded by the source corpus.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/9c188dd2c0372de215a4f5e8908ed9e9975e0ff5
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Citations in the corpus
- A New Look at Panel Testing of Stationarity and the PPP Hypothesis (2001, methodology): “to the size problem with the KPSS, which has previously been documented by Caner and Kilian (2002) , Hobijn, Franses and Ooms (1998), among others.6 However, our analysis is useful in”
- TESTS FOR NONLINEAR COINTEGRATION (2009, methodology): “uniformly in 0 � s � 1: The …rst term on the right-hand side converges weakly to Be (s); as discussed in the proof of Theorem 3 of SC. The weak limit of the second term is obtained by using the multivariate invariance principle ( 5 ), the continuous mapping theorem and part (i) of Theorem 2 as in th”
- Size and Power of Tests for Stationarity in Highly Autocorrelated Time Series (2005, unknown): “95 in the mean case and 38.0% in the trend case (Caner and Kilian (2001), Table 1).”
- Bootstrap LR tests of stationarity, common trends and cointegration (2012, unknown): “Table 3), the KPSS test becomes less reliable (see [19] among others).”
- Confidence Intervals for Half-Life Deviations From Purchasing Power Parity (2005, methodology): “Some researchers have recently addressed the question of size distortions of tests in the presence of persistent real exchange rates and their implications for the PPP debate (see Engel 2000; Caner and Kilian 2001). However, Caner and Kilian focused on size problems of tests of the null hypothesis o”
- Real exchange rates and Purchasing Power Parity: mean-reversion in economic thought (2006, background): “However, Caner and Kilian (2001) find that the KPSS test could suffer from serious size distortion.”