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On the power of stationarity tests using optimal bandwidth estimates

Authors
Publisher
Elsevier B.V.
Publication Date
Volume
51
Issue
2
Identifiers
DOI: 10.1016/0165-1765(96)00810-5
Keywords
  • Stationarity
  • Optimal Bandwidth

Abstract

Abstract The correct size of stationarity tests using optimal lag selection and pre-whitening procedures might be obtained at the expense of power. These procedures involve some intrinsic problems when they are applied to stationarity tests.

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