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

Journal article: 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

Author(s)

Ibrahim Ahamada, Mohamed Boutahar

Journal
  • Economics Bulletin
Date of publication
  • 2012
Keywords JEL
C1
Keywords
  • KPSS test
  • Abrupt changes
  • Unconditional variance
  • Asymptotic moments
Pages
  • 854-865
Version
  • 1
Volume
  • 32