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Testing for Stationarity at High Frequency

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  • Jiang, Bibo
  • Lu, Ye
  • Park, Joon Y.

Abstract

The high frequency behavior of the KPSS test, which is most commonly used to test for stationarity, is analyzed in a continuous time framework. Our asymptotics show that the test has no discriminatory power at high frequency: It either always rejects stationarity or has no nontrivial power at high frequency. The test becomes valid at high frequency only when the bandwidth of its long-run variance estimate is chosen suitably in our framework. We also analyze the residual-based KPSS test for cointegration.

Suggested Citation

  • Jiang, Bibo & Lu, Ye & Park, Joon Y., 2020. "Testing for Stationarity at High Frequency," Journal of Econometrics, Elsevier, vol. 215(2), pages 341-374.
    • Handle: RePEc:eee:econom:v:215:y:2020:i:2:p:341-374
    DOI: 10.1016/j.jeconom.2019.09.004
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    More about this item

    Keywords

    KPSS test; Testing for stationarity; Testing for cointegration; Continuous time process; High frequency observation;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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