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On the power of the multivariate KPSS test of stationarity against fractionally integrated alternatives

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  • Jen-Je Su

Abstract

It shown that the multivariate version of KPSS test of Nyblom and Harvey (Econometric Theory, 16, 176-199, 2000) is consistent for the null of I(0) against the I(d) alternative. Simulation evidence is given to show the gain in power that is obtained from the multivariate approach.

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  • Jen-Je Su, 2003. "On the power of the multivariate KPSS test of stationarity against fractionally integrated alternatives," Applied Economics Letters, Taylor & Francis Journals, vol. 10(10), pages 637-641.
  • Handle: RePEc:taf:apeclt:v:10:y:2003:i:10:p:637-641 DOI: 10.1080/1350485032000133336
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    References listed on IDEAS

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    1. Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188.
    2. Nyblom, Jukka & Harvey, Andrew, 2000. "Tests Of Common Stochastic Trends," Econometric Theory, Cambridge University Press, vol. 16(02), pages 176-199, April.
    3. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    4. P. C. B. Phillips & S. N. Durlauf, 1986. "Multiple Time Series Regression with Integrated Processes," Review of Economic Studies, Oxford University Press, pages 473-495.
    5. Choi, In & Chul Ahn, Byung, 1998. "Testing the null of stationarity for multiple time series," Journal of Econometrics, Elsevier, vol. 88(1), pages 41-77, November.
    6. de Jong, Robert M. & Davidson, James, 2000. "The Functional Central Limit Theorem And Weak Convergence To Stochastic Integrals I," Econometric Theory, Cambridge University Press, vol. 16(05), pages 621-642, October.
    7. Lee, Dongin & Schmidt, Peter, 1996. "On the power of the KPSS test of stationarity against fractionally-integrated alternatives," Journal of Econometrics, Elsevier, pages 285-302.
    8. Chung, Ching-Fan, 2002. "Sample Means, Sample Autocovariances, And Linear Regression Of Stationary Multivariate Long Memory Processes," Econometric Theory, Cambridge University Press, vol. 18(01), pages 51-78, February.
    9. Bart Hobijn & Philip Hans Franses, 2000. "Asymptotically perfect and relative convergence of productivity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(1), pages 59-81.
    10. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", pages 125-132.
    11. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
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    1. repec:eee:revfin:v:34:y:2017:i:c:p:61-73 is not listed on IDEAS
    2. Gündüz, Yalin & Kaya, Orcun, 2013. "Sovereign default swap market efficiency and country risk in the eurozone," Discussion Papers 08/2013, Deutsche Bundesbank.

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