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

Abstract : 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
Type de document :
Article dans une revue
Economics Bulletin, Economics Bulletin, 2012, 32 (1), pp.854-865
Liste complète des métadonnées

https://hal.archives-ouvertes.fr/hal-00678525
Contributeur : Ibrahim Ahamada <>
Soumis le : mardi 13 mars 2012 - 11:17:56
Dernière modification le : lundi 4 avril 2016 - 14:42:40

Identifiants

  • HAL Id : hal-00678525, version 1

Collections

Citation

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

Partager

Métriques

Consultations de la notice

347