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A Proof Of The Power Of Kim'S Test Against Stationary Processes With Structural Breaks

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  • Belaire-Franch, Jorge

Abstract

In this note we show that, when the true data generating process is a stationary one around a constant term with a break, the stationarity test of Kim (2000, Journal of Econometrics 95, 97–116) against the alternative hypothesis of change of persistence rejects the null of stationarity asymptotically with probability one.I am grateful to an anonymous referee for his useful comments, which have helped to improve the content and presentation of this note. I acknowledge financial support from Ministerio de Ciencia y Tecnología, project SEC2003-09205.

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  • Belaire-Franch, Jorge, 2005. "A Proof Of The Power Of Kim'S Test Against Stationary Processes With Structural Breaks," Econometric Theory, Cambridge University Press, vol. 21(6), pages 1172-1176, December.
    • Handle: RePEc:cup:etheor:v:21:y:2005:i:06:p:1172-1176_05
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    Cited by:

    1. Uwe Hassler & Jan Scheithauer, 2011. "Detecting changes from short to long memory," Statistical Papers, Springer, vol. 52(4), pages 847-870, November.
    2. Philipp Sibbertsen & Juliane Willert, 2012. "Testing for a break in persistence under long-range dependencies and mean shifts," Statistical Papers, Springer, vol. 53(2), pages 357-370, May.

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