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- KPSS_test abstract "In econometrics, Kwiatkowski–Phillips–Schmidt–Shin (KPSS) tests are used for testing a null hypothesis that an observable time series is stationary around a deterministic trend. Such models were proposed in 1982 by Alok Bhargava in his Ph.D. thesis where several John von Neumann- or Durbin–Watson-type finite sample tests for unit roots were developed (see Bhargava, 1986). Later, Denis Kwiatkowski, Peter C. B. Phillips, Peter Schmidt and Yongcheol Shin (1992) proposed a test of the null hypothesis that an observable series is trend stationary (stationary around a deterministic trend). The series is expressed as the sum of deterministic trend, random walk, and stationary error, and the test is the Lagrange multiplier test of the hypothesis that the random walk has zerovariance. KPSS-type tests are intended to complement unit root tests, such as the Dickey–Fuller tests. By testing both the unit root hypothesis and the stationarity hypothesis, one can distinguish series that appear to be stationary, series that appear to have a unit root, and series for which the data (or the tests) are not sufficiently informative to be sure whether they are stationary or integrated.".
- KPSS_test wikiPageExternalLink kpss.pdf.
- KPSS_test wikiPageID "23453383".
- KPSS_test wikiPageLength "2175".
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- KPSS_test wikiPageRevisionID "679306854".
- KPSS_test wikiPageWikiLink Alok_Bhargava.
- KPSS_test wikiPageWikiLink Category:Statistical_tests.
- KPSS_test wikiPageWikiLink Category:Time_series_analysis.
- KPSS_test wikiPageWikiLink Denis_Kwiatkowski.
- KPSS_test wikiPageWikiLink Dickey–Fuller_test.
- KPSS_test wikiPageWikiLink Durbin–Watson.
- KPSS_test wikiPageWikiLink Durbin–Watson_statistic.
- KPSS_test wikiPageWikiLink Econometrics.
- KPSS_test wikiPageWikiLink John_von_Neumann.
- KPSS_test wikiPageWikiLink Lagrange_multiplier_test.
- KPSS_test wikiPageWikiLink Null_hypothesis.
- KPSS_test wikiPageWikiLink Peter_C._B._Phillips.
- KPSS_test wikiPageWikiLink Random_walk.
- KPSS_test wikiPageWikiLink Score_test.
- KPSS_test wikiPageWikiLink Stationary_process.
- KPSS_test wikiPageWikiLink Time_series.
- KPSS_test wikiPageWikiLink Trend_stationary.
- KPSS_test wikiPageWikiLink Unit_root.
- KPSS_test wikiPageWikiLink Unit_root_test.
- KPSS_test wikiPageWikiLink Yongcheol_Shin.
- KPSS_test wikiPageWikiLinkText "KPSS test".
- KPSS_test wikiPageWikiLinkText "Kwiatkowski–Phillips–Schmidt–Shin test".
- KPSS_test hasPhotoCollection KPSS_test.
- KPSS_test wikiPageUsesTemplate Template:Cite_journal.
- KPSS_test wikiPageUsesTemplate Template:Reflist.
- KPSS_test subject Category:Statistical_tests.
- KPSS_test subject Category:Time_series_analysis.
- KPSS_test type Type.
- KPSS_test type Econometric.
- KPSS_test type Process.
- KPSS_test type Type.
- KPSS_test comment "In econometrics, Kwiatkowski–Phillips–Schmidt–Shin (KPSS) tests are used for testing a null hypothesis that an observable time series is stationary around a deterministic trend. Such models were proposed in 1982 by Alok Bhargava in his Ph.D. thesis where several John von Neumann- or Durbin–Watson-type finite sample tests for unit roots were developed (see Bhargava, 1986). Later, Denis Kwiatkowski, Peter C. B.".
- KPSS_test label "KPSS test".
- KPSS_test sameAs Test_KPSS.
- KPSS_test sameAs Test_KPSS.
- KPSS_test sameAs m.06w34sy.
- KPSS_test sameAs Q6335900.
- KPSS_test sameAs Q6335900.
- KPSS_test wasDerivedFrom KPSS_test?oldid=679306854.
- KPSS_test isPrimaryTopicOf KPSS_test.