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

Author

Listed:
  • Ahamada Ibrahim

    (University of Paris 1 and CES, France.)

  • Boutahar Mohamed

    (Aix-Marseille University and IML, France)

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

  • Ahamada Ibrahim & Boutahar Mohamed, 2012. "Power of the KPSS test against shift in variance: a further investigation," Economics Bulletin, AccessEcon, vol. 32(1), pages 854-865.
    • Handle: RePEc:ebl:ecbull:eb-11-00755
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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. 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.
    3. 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.
    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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