Add to ORKGInternational audienceThis 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 propose
In this paper, performance of the KPSS tests of Kwiatkowski et al. (Journal of Economics, 54, 159-78...
This study proposes a unit root test for a time series having a mean shift at an unknown point. The ...
The KPSS test is very popular and used extensively by practitioners. The test considers two models u...
International audienceThis paper shows some failures of the KPSS test when the source of the nonstat...
Accessible en ligne : http://economicsbulletin.vanderbilt.edu/National audienceThis paper shows by s...
URL des Documents de travail : http://ces.univ-paris1.fr/cesdp/CESFramDP2010.htmDocuments de travail...
In this paper, we show that the widely used stationarity tests such as the KPSS test have power clos...
We investigate the effects of outliers on the KPSS tests. We find that for nonstationary series outl...
We introduce a test for strict stationarity based on the fluctuations of the quantiles of the data, ...
We investigate the effects of outliers on the KPSS tests. We find that for nonstationary series outl...
[eng] Inclan and Tiao (1994) proposed a test for the detection of changes of the unconditional varia...
In this paper, performance of the KPSS tests of Kwiatkowski et al. (Journal of Economics, 54, 159-78...
This study proposes a unit root test for a time series having a mean shift at an unknown point. The ...
The KPSS test is very popular and used extensively by practitioners. The test considers two models u...
International audienceThis paper shows some failures of the KPSS test when the source of the nonstat...
Accessible en ligne : http://economicsbulletin.vanderbilt.edu/National audienceThis paper shows by s...
URL des Documents de travail : http://ces.univ-paris1.fr/cesdp/CESFramDP2010.htmDocuments de travail...
In this paper, we show that the widely used stationarity tests such as the KPSS test have power clos...
We investigate the effects of outliers on the KPSS tests. We find that for nonstationary series outl...
We introduce a test for strict stationarity based on the fluctuations of the quantiles of the data, ...
We investigate the effects of outliers on the KPSS tests. We find that for nonstationary series outl...
[eng] Inclan and Tiao (1994) proposed a test for the detection of changes of the unconditional varia...
In this paper, performance of the KPSS tests of Kwiatkowski et al. (Journal of Economics, 54, 159-78...
This study proposes a unit root test for a time series having a mean shift at an unknown point. The ...
The KPSS test is very popular and used extensively by practitioners. The test considers two models u...