Generalizations of the KPSS‐test for stationarity
Bart Hobijn (),
Philip Hans Franses and
Marius Ooms ()
Statistica Neerlandica, 2004, vol. 58, issue 4, 483-502
We propose automatic generalizations of the KPSS‐test for the null hypothesis of stationarity of a univariate time series. We can use these tests for the null hypotheses of trend stationarity, level stationarity and zero mean stationarity. We introduce the asymptotic null distributions and we determine consistency against relevant nonstationary alternatives. We compare the properties of the tests with those of other proposed tests for stationarity. Monte Carlo simulations support the relevance of the tests when an autoregressive process with large positive autocorrelations is likely under the null hypothesis.
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