Testing for Stationarity at High Frequency

Bibo Jiang, Ye Lu and Joon Y. Park

Journal of Econometrics, 2020, vol. 215, issue 2, 341-374

Abstract: The high frequency behavior of the KPSS test, which is most commonly used to test for stationarity, is analyzed in a continuous time framework. Our asymptotics show that the test has no discriminatory power at high frequency: It either always rejects stationarity or has no nontrivial power at high frequency. The test becomes valid at high frequency only when the bandwidth of its long-run variance estimate is chosen suitably in our framework. We also analyze the residual-based KPSS test for cointegration.

Keywords: KPSS test; Testing for stationarity; Testing for cointegration; Continuous time process; High frequency observation (search for similar items in EconPapers)
JEL-codes: C13 C22 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:215:y:2020:i:2:p:341-374

DOI: 10.1016/j.jeconom.2019.09.004

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