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, 1917-1923

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.

Date: 2002
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DOI: 10.1080/00036840210129400

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