A PROOF OF THE POWER OF KIM'S TEST AGAINST STATIONARY PROCESSES WITH STRUCTURAL BREAKS

Jorge Belaire-Franch

Econometric Theory, 2005, vol. 21, issue 6, 1172-1176

Abstract: In this note we show that, when the true data generating process is a stationary one around a constant term with a break, the stationarity test of Kim (2000, Journal of Econometrics 95, 97–116) against the alternative hypothesis of change of persistence rejects the null of stationarity asymptotically with probability one.I am grateful to an anonymous referee for his useful comments, which have helped to improve the content and presentation of this note. I acknowledge financial support from Ministerio de Ciencia y Tecnología, project SEC2003-09205.

Date: 2005
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