Power of the KPSS test against shift in variance: a further investigation

Ibrahim Ahamada (1, 2) , Mohamed Boutahar (3)

1 CES - Centre d'économie de la Sorbonne
2 PSE - Paris School of Economics
3 IML - Institut de mathématiques de Luminy

This paper shows some failures of the KPSS test when the source of the nonstationarity is explained by an unconditional volatility shift. We provide the asymptotic moments of the statistic under general case of shifts in the unconditional variance. We find that these moments remain unchanged even under high abrupt changes. Finally a complementary test is proposed

Mots clés: KPSS test; Abrupt changes; Unconditional variance; Asymptotic moments

Domaines: Méthodes et statistiques; Economies et finances

Ibrahim Ahamada, Mohamed Boutahar. Power of the KPSS test against shift in variance: a further investigation. Economics Bulletin, 2012, 32 (1), pp.854-865. ⟨hal-00678525⟩