A complementary test for the KPSS test with an application to the US Dollar/Euro exchange rate

Ahamada Ibrahim ()
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Ahamada Ibrahim: GREQAM, université de la méditerranée and CERESUR, université de La Réunion

Economics Bulletin, 2004, vol. 3, issue 4, 1-5

Abstract: This paper shows by simulation experiments some failures of the KPSS test when the source of the nonstationarity is explained by an unconditional volatility shift. So, a complementary test is proposed. An application to the US Dollar/Euro exchange rate reveals an instability in the unconditional volatility.

JEL-codes: C1 (search for similar items in EconPapers)
Date: 2004-02-19
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-03c10010

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