A robust version of the KPSS test based on ranks
AbstractThis paper proposes a test of the null hypothesis of stationarity that is robust to the presence of fat-tailed errors. The test statistic is a modified version of the KPSS statistic, in which ranks substitute the original observations. The rank KPSS statistic has the same limiting distribution as the standard KPSS statistic under the null and diverges under I(1) alternatives. It features good power both under thin-tailed and fat-tailed distributions and it turns out to be a valid alternative to the original KPSS and the recently proposed Index KPSS (de Jong et al. 2007).
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Bibliographic InfoPaper provided by Università degli Studi di Milano-Bicocca, Dipartimento di Statistica in its series Working Papers with number 20090701.
Length: 28 pages
Date of creation: Jul 2009
Date of revision:
Stationarity testing; Time series; Robustness; Rank statistics; Empirical processes;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-04-17 (All new papers)
- NEP-ECM-2010-04-17 (Econometrics)
- NEP-ETS-2010-04-17 (Econometric Time Series)
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