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

Ahamada Ibrahim () and Mohamed Boutahar
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Ahamada Ibrahim: University of Paris 1 and CES, France.

Economics Bulletin, 2012, vol. 32, issue 1, 854-865

Abstract: 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.

Keywords: KPSS test; Abrupt changes; Unconditional variance; Asymptotic moments. (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Date: 2012-03-12
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Working Paper: Power of the KPSS test against shift in variance: a further investigation (2012)
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