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Nonlinear KPSS Test/Evidence
Method evidence record

Nonlinear KPSS Test

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.

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Nonlinear Kwiatkowski-Phillips-Schmidt-Shin Test
Taxonomic method record · regression-model / econometrics
  • 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 10.1111/j.1467-9892.2006.00478.x
  • Enders, W., & Lee, J. (2012). A unit root test using a Fourier series to approximate smooth breaks. Oxford Bulletin of Economics and Statistics, 74(4), 574-599. · DOI 10.1111/j.1468-0084.2011.00662.x
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Related methods

Generated from the method graph and shown as machine-suggested relations — no evidence claim is inferred.

Same method familyAugmented Dickey-Fuller Testmachine-suggested · Relational suggestion, not evidence.Same method familyKPSS Testmachine-suggested · Relational suggestion, not evidence.Used in the same domainZivot-Andrews Testmachine-suggested · Relational suggestion, not evidence.

Evidence status

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Bibliographic sources are present. Claim-level evidence review has not been performed.

Sources

2 recorded citations, copied from the method source record.

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