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Spurious rejection of the stationarity hypothesis in the presence of a break point

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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.

Document Type: Research Article

DOI: https://doi.org/10.1080/00036840210129400

Publication date: 2002-10-15

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