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

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.

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Year of publication:	2012
Authors:	Ibrahim, Ahamada ; Mohamed, Boutahar
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 32.2012, 1, p. 854-865
Publisher:	AccessEcon
Subject:	KPSS test \| Abrupt changes \| Unconditional variance \| Asymptotic moments

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Extent:	application/pdf
Type of publication:	Article
Classification:	C1 - Econometric and Statistical Methods: General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011278646