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

Article dans une revue: 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

Auteur(s)

Ibrahim Ahamada, Mohamed Boutahar

Revue
  • Economics Bulletin
Date de publication
  • 2012
Mots-clés JEL
C.C1
Mots-clés
  • KPSS test
  • Abrupt changes
  • Unconditional variance
  • Asymptotic moments
Pages
  • 854-865
Version
  • 1
Volume
  • 32