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Testing the null hypothesis of stationarity against the alternative of a unit root

Journal of Econometrics · 1992 · Vol. 54(1-3) · pp. 159–178

Denis Kwiatkowski✉(Central Michigan University)Peter C.B. Phillips(Yale University)Peter Schmidt(Michigan State University)Yongcheol Shin(Michigan State University)

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Complex Systems and Time Series AnalysisMathematicsNull hypothesisUnit rootTest statisticNull (SQL)Series (stratigraphy)Null distributionStatistical hypothesis testingAlternative hypothesisStatistics

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References

Distribution of the Estimators for Autoregressive Time Series with a Unit Root

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Biometrika · 1988 · 17,746 citations

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

Econometrica · 1991 · 4,101 citations

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

Econometrica · 1987 · 16,843 citations

Testing for unit roots in autoregressive-moving average models of unknown order

Biometrika · 1984 · 3,186 citations

Time Series Regression with a Unit Root

Econometrica · 1987 · 2,870 citations

Forecasting, Structural Time Series Models and the Kalman Filter

Journal of the Operational Research Society · 1991 · 4,813 citations

Testing the null hypothesis of stationarity against the alternative of a unit root

Journal of Econometrics · 1992 · 12,417 citations

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