This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

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

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
AHAMADA IBRAHIM () (GREQAM, université de la méditerranée and CERESUR, université de La Réunion)

Additional information is available for the following registered author(s):

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.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.accessecon.com/pubs/EB/2004/Volume3/EB-03C10010A.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 3 (2004)
Issue (Month): 4 ()
Pages: 1-5
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ebl:ecbull:v:3:y:2004:i:4:p:1-5

Contact details of provider:

For technical questions regarding this item, or to correct its listing, contact: (John P. Conley).

Related research
Keywords:

Find related papers by JEL classification:
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General

Statistics
Access and download statistics

Did you know? LogEc provides statistical analysis about downloads from this service (and others).

This page was last updated on 2010-1-5.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.