Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root

Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992). Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?. Journal of Econometrics, 54(1–3), 1-3.

Type

Journal article

Intellectual base

Primary research

Year

1992

Volume

54

Issue

1–3

Pages

1-3

ISSN

0304-4076

DOI

10.1016/0304-4076(92)90104-y

DOI registrant

Elsevier

Link

https://doi.org/10.1016/0304-4076(92)90104-Y

Cited by

3 citations across 3 artifacts.

Each citation links to the sentence it supports in the citing article.

Domain-specific

• KPSS test
  • The deterministic component, long-run variance estimator, kernel and bandwidth determine critical values and finite-sample behavior; failing to reject does not prove every form of stationarity.

Mechanisms

• Residual Stationarity Check
  • The Residual Stationarity Check applies a formal test: an Augmented Dickey–Fuller test to probe for a remaining unit-root drift, cross-read against a KPSS test whose null is the opposite.

    This sourceIntroduces a formal stationarity-null test and interprets it alongside Dickey–Fuller unit-root tests, whose null hypothesis runs in the opposite direction.

• Stationarity Test
  • Its sharpest limitation is asymmetry of evidence: these tests can reject stationarity but never confirm it, and with short series they have low power, so a "pass" often just means too little data to see the drift.

    This sourceIntroduces a test whose null hypothesis is stationarity against a unit-root alternative.

Verification

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