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Testing the Power of a Generalization of the KPSS-Tests against Fractionally Integrated Hypotheses

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  • L.A. Gil-Alana

Abstract

We analyse in this article the size and the power properties of differentgeneralizations of the KPSS-tests proposed by Hobjin et al. (1998) for testingthe null hypothesis of stationarity in univariate time series when thealternatives are of a fractional form. We show that the test based on the useof the Quadratic Spectral kernel along with an automatic bandwidth selectionprocedure produces the best results and thus, it might be employed for testingI(0) against I(d>0) stationary or nonstationary processes. An empiricalapplication, showing the performance of the tests in finite samples is alsocarried out at the end of the article. Copyright Kluwer Academic Publishers 2003

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  • L.A. Gil-Alana, 2003. "Testing the Power of a Generalization of the KPSS-Tests against Fractionally Integrated Hypotheses," Computational Economics, Springer;Society for Computational Economics, vol. 22(1), pages 23-38, August.
    • Handle: RePEc:kap:compec:v:22:y:2003:i:1:p:23-38
    DOI: 10.1023/A:1024553430101
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    1. Lee, Sangyeol & Meintanis, Simos G. & Pretorius, Charl, 2022. "Monitoring procedures for strict stationarity based on the multivariate characteristic function," Journal of Multivariate Analysis, Elsevier, vol. 189(C).

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    More about this item

    Keywords

    C12; C15; C22;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: 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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