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A Complementary Test for the KPSS test with an application to the US dollar/euro exchange rate

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  • Ibrahim Ahamada

    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique, EUREQUA - Equipe Universitaire de Recherche en Economie Quantitative - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

Abstract

This paper shows by simulation experiments some failures of the KPSS test when the source of the nonstationarity is explained by an unconditional volatility shift. So, a complementary test is proposed. An application to the US Dollar/Euro exchange rate reveals an instability in the unconditional volatility.

Suggested Citation

  • Ibrahim Ahamada, 2004. "A Complementary Test for the KPSS test with an application to the US dollar/euro exchange rate," Post-Print halshs-00272868, HAL.
    • Handle: RePEc:hal:journl:halshs-00272868
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    Keywords

    KPSS TEST; unconditional volatility shift;

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