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

Author

Listed:
  • Ibrahim Ahamada

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

  • Mohamed Boutahar

    (IML - Institut de mathématiques de Luminy - Université de la Méditerranée - Aix-Marseille 2 - CNRS - Centre National de la Recherche Scientifique)

Abstract

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

Suggested Citation

  • Ibrahim Ahamada & Mohamed Boutahar, 2012. "Power of the KPSS test against shift in variance: a further investigation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00678525, HAL.
    • Handle: RePEc:hal:cesptp:hal-00678525
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    References listed on IDEAS

    as
    1. Mohamed Boutahar & Claude Deniau, 1996. "Least squares estimator for regression models with some deterministic time varying parameters," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 43(1), pages 57-67, December.
    2. Paolella, Marc S., 2003. "Computing moments of ratios of quadratic forms in normal variables," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 313-331, March.
    3. Jan R. Magnus, 1986. "The Exact Moments of a Ratio of Quadratic Forms in Normal Variables," Annals of Economics and Statistics, GENES, issue 4, pages 95-109.
    4. repec:adr:anecst:y:1986:i:4:p:05 is not listed on IDEAS
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    More about this item

    Keywords

    KPSS test; Abrupt changes; Unconditional variance; Asymptotic moments;
    All these keywords.

    JEL classification:

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

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