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The Effect of Linear Time Trends on the KPSS Test for Cointegration

✍ Scribed by Uwe Hassler


Book ID
108549459
Publisher
John Wiley and Sons
Year
2001
Tongue
English
Weight
153 KB
Volume
22
Category
Article
ISSN
0143-9782

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The effects of temporal aggregation on t
✍ Paulo Teles; William W.S Wei πŸ“‚ Article πŸ“… 2000 πŸ› Elsevier Science 🌐 English βš– 158 KB

Time-series aggregates are often used in performing tests for departure from linearity. In this paper, we study the e ects of temporal aggregation on testing for linearity, basing our analysis on both time-and frequency-domain tests. The results show that temporal aggregation weakens nonlinearity an