Spurious Rejection of the Stationarity Hypothesis in the Presence of a Break Point

Rosa Badillo, Jorge Belaire-Franch () and Dulce Contreras

Applied Economics, 2002, vol. 34, issue 15, pages 1917-23

Abstract: It is shown that KPSS and LMC tests may be seriously biased when there is a shift in the level or in the trend of the time series under study. Copyright 2002 by Taylor and Francis Group

Date: 2002

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