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A complementary test for the KPSS test with an application to the US Dollar/Euro exchange rate

Author

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  • AHAMADA IBRAHIM

    (GREQAM, université de la méditerranée and CERESUR, université de La Réunion)

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.

Suggested Citation

  • Ahamada Ibrahim, 2004. "A complementary test for the KPSS test with an application to the US Dollar/Euro exchange rate," Economics Bulletin, AccessEcon, vol. 3(4), pages 1-5.
    • Handle: RePEc:ebl:ecbull:eb-03c10010
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    References listed on IDEAS

    as
    1. Loretan, Mico & Phillips, Peter C. B., 1994. "Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets," Journal of Empirical Finance, Elsevier, vol. 1(2), pages 211-248, January.
    2. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    3. Ahamada, Ibrahim, 2002. "Tests for covariance stationarity and white noise, with an application to Euro/US dollar exchange rate: An approach based on the evolutionary spectral density," Economics Letters, Elsevier, vol. 77(2), pages 177-186, October.
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    Cited by:

    1. Ismail H. GENC & Anil RUPASINGHA, 2009. "Time-series Tests of Stochastic Earnings Convergence across US Nonmetropolitan Counties, 1969-2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(2).

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    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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