In this paper we discuss the finite sample behavior of the KPSS test in the presence of conditionally heteroskedastic errors. We confirm that under stationary GARCH errors the asymptotics of the KPSS remains valid. However, in finite samples we observe a slight size distortion and a power distortion. Interestingly, IGARCH errors do not seem to affect the size of the test, however they may often cause a substantial loss of power.
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
file. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Article provided by Economics Bulletin in its journal Economics Bulletin.
Volume (Year): 3 (2005) Issue (Month): 55 () Pages: 1-12 Download reference. The following formats are available: HTML,
plain text,
BibTeX,
RIS (EndNote),
ReDIF
Handle: RePEc:ebl:ecbull:v:3:y:2005:i:55:p:1-12
Contact details of provider: Postal: Economics Bulletin, Department of Economics, 414 Calhoun Hall, Vanderbilt University, Nashville TN 37235, USA Phone: 615-322-2920 Fax: 615-343-8495 Email: Web page: http://www.economicsbulletin.com
For technical questions regarding this item, or to correct its listing, contact: (John Conley).
Find related papers by JEL classification: C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.: