Spurious rejection of the stationarity hypothesis in the presence of a break point
Authors: Badillo, Rosa; Belaire-Franch, Jorge; Contreras, Dulce
Source: Applied Economics, Volume 34, Number 15, 15 October 2002 , pp. 1917-1923(7)
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
Publication date: October 15, 2002