Essays about: "KPSS test"

Found 4 essays containing the words KPSS test.

  1. 1. A Comparative Study of the KPSS and ADF Tests in terms of Size and Power

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Lina Sjösten; [2022]
    Keywords : Stationarity; unit root; time series; simulation; trend; ARIMA; parameter value; sample size;

    Abstract : This thesis investigates through simulation why tests of unit root and stationarity occasionally result in different conclusions. The thesis focusses on the KPSS test and the ADF test and both review cases with and without a trend. READ MORE

  3. 2. Georgian Environmental Kuznets Curve: An Appropriate Estimation.

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Farahim Suleymanli; [2022]
    Keywords : Environmental Kuznets Curve; integrated processes; Planetary Boundary; Environmental Degradation Index; Business and Economics;

    Abstract : Empirical EKC literature has conceptual flaws that arise due to the inclusion of polynomials and cointegrating relationships of powers of integrated processes. Additionally, previous studies focused on a narrow nexus between environmental degradation and economic growth that yield only a partial EKC. READ MORE

  4. 3. Is there hysteresis in unemployment rates?

    University essay from Lunds universitet/Statistiska institutionen

    Author : Niclas Lavesson; [2012]
    Keywords : Hysteresis; unemployment; ARFIMA; fractional integration; time series; Mathematics and Statistics;

    Abstract : This paper investigates if there is hysteresis in unemployment rates for 8 OECD countries. Univariate unit root tests (ADF and KPSS tests) are performed as an initial analysis of the unemployment rates. These tests suggest that the hysteresis hypothesis is true. READ MORE

  5. 4. Forecast Performance Between SARIMA and SETAR Models: An Application to Ghana Inflation Rate

    University essay from Statistiska institutionen

    Author : ERIC AIDOO; [2011]
    Keywords : Ghana Inflation; SARIMA model; SETAR model; Forecast comparison; CH test; ZA test; KPSS test; HEGY test; Tsay test; Keenan test;

    Abstract : In recent years, many research works such as Tiao and Tsay (1994), Stock and Watson (1999), Chen et al. (2001), Clements and Jeremy (2001), Marcellino (2002), Laurini and Vieira (2005) and others have described the dynamic features of many macroeconomic variables as nonlinear. READ MORE