A Complementary Test for the KPSS test with an application to the US dollar/euro exchange rate

Ibrahim Ahamada ()
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Ibrahim Ahamada: GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique, EUREQUA - Equipe Universitaire de Recherche en Economie Quantitative - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

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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.

Keywords: KPSS TEST; unconditional volatility shift (search for similar items in EconPapers)
Date: 2004
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Published in Economics Bulletin, 2004, 3 (4), pp.1-5

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00272868

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