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

Ibrahim Ahamada () and Mohamed Boutahar
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Ibrahim Ahamada: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

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)
Date: 2012-10-01
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Published in Economics Bulletin, 2012, 32 (1), pp.854-865

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Journal Article: Power of the KPSS test against shift in variance: a further investigation (2012)
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