Size and power: lower tail KPSS tests and anti-persistent alternatives

Christine Amsler

Applied Economics Letters, 1999, vol. 6, issue 10, 693-695

Abstract: Evidence is presented on the size and power of the lower tail Kwiatkowski-Phillips-Schmidt-Shin stationarity test for testing the null hypothesis of short memory against the alternative hypothesis of anti-persistence.

Date: 1999
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DOI: 10.1080/135048599352529

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