%0 Journal Article
%T Power of the KPSS test against shift in variance: a further investigation
%+ Centre d'économie de la Sorbonne (CES)
%+ Paris School of Economics (PSE)
%+ Institut de mathématiques de Luminy (IML)
%A Ahamada, Ibrahim
%A Boutahar, Mohamed
%< avec comité de lecture
%@ 1545-2921
%J Economics Bulletin
%I Economics Bulletin
%V 32
%N 1
%P 854-865
%8 2012-10-01
%D 2012
%K KPSS test
%K Abrupt changes
%K Unconditional variance
%K Asymptotic moments
%Z Humanities and Social Sciences/Methods and statistics
%Z Humanities and Social Sciences/Economics and FinanceJournal articles
%X 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
%G English
%L hal-00678525
%U https://hal.science/hal-00678525
%~ SHS
%~ UNIV-PARIS1
%~ ENS-PARIS
%~ ENPC
%~ PSE
%~ CNRS
%~ UNIV-AMU
%~ EHESS
%~ CES
%~ AO-ECONOMIE
%~ PARISTECH
%~ IML
%~ I2M
%~ PSL
%~ INRAE
%~ PSE-POST-PRINT
%~ ENS-PSL
%~ EHESS-PSL
%~ JSE2024