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Testing for Stationarity at High Frequency

Bibo Jiang, Ye Lu and Joon Y. Park

No 2018-09, Working Papers from University of Sydney, School of Economics

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 longrun 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)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mst
Date: 2018-07
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