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Generalizations of the KPSS‐test for stationarity

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  • Bart Hobijn
  • Philip Hans Franses
  • Marius Ooms

Abstract

We propose automatic generalizations of the KPSS‐test for the null hypothesis of stationarity of a univariate time series. We can use these tests for the null hypotheses of trend stationarity, level stationarity and zero mean stationarity. We introduce the asymptotic null distributions and we determine consistency against relevant nonstationary alternatives. We compare the properties of the tests with those of other proposed tests for stationarity. Monte Carlo simulations support the relevance of the tests when an autoregressive process with large positive autocorrelations is likely under the null hypothesis.

Suggested Citation

  • Bart Hobijn & Philip Hans Franses & Marius Ooms, 2004. "Generalizations of the KPSS‐test for stationarity," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 58(4), pages 483-502, November.
    • Handle: RePEc:bla:stanee:v:58:y:2004:i:4:p:483-502
    DOI: 10.1111/j.1467-9574.2004.00272.x
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