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| Prova KPSS no lineal× | Test de Estacionariedad KPSS× | |
|---|---|---|
| Camp | Econometria | Econometria |
| Família | Regression model | Regression model |
| Any d'origen≠ | 2006 | 1992 |
| Autor original≠ | Becker, Enders & Lee | Kwiatkowski, Phillips, Schmidt & Shin |
| Tipus≠ | Stationarity test (null: stationary) | Stationarity test (reverse of unit-root tests) |
| Font seminal≠ | Becker, R., Enders, W., & Lee, J. (2006). A stationarity test in the presence of an unknown number of smooth breaks. Journal of Time Series Analysis, 27(3), 381-409. DOI ↗ | Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics, 54(1–3), 159–178. DOI ↗ |
| Àlies≠ | KPSS nonlinearity test, nonlinear stationarity test, flexible Fourier KPSS, NL-KPSS | Kwiatkowski-Phillips-Schmidt-Shin test, stationarity test, KPSS durağanlık testi |
| Relacionats≠ | 3 | 4 |
| Resum≠ | The nonlinear KPSS test extends the classic Kwiatkowski-Phillips-Schmidt-Shin stationarity test by modelling unknown smooth structural breaks in the deterministic trend using a Fourier approximation. Under the null hypothesis the series is stationary around a flexible nonlinear trend, guarding against spurious unit-root findings caused by regime shifts or gradual transitions. | The KPSS test, introduced by Kwiatkowski, Phillips, Schmidt and Shin in 1992, tests the null hypothesis that a series is stationary against the alternative that it contains a unit root — the reverse of the ADF and Phillips-Perron tests. By flipping the burden of proof, it is designed to be used alongside unit-root tests so that the two can confirm one another and expose ambiguous, borderline cases. |
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