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EnglishStationarity tests exhibit extreme size distortions if the observable process is stationary yet highly persistent. In this paper we provide a theoretical explanation for the size distortion of the K PSS test for DGPs with a broad range of first order autocorrelation coefficient. Considering a near-integrated, nearly stationary process we show that the asymptotic distribution of the test contains an additional term, which can potentially explain the amount of size distortion documented in previous simulation studies.
| Titolo: | The Fragility of the KPSS Stationarity Test |
| Autori: | |
| Data di pubblicazione: | 2010 |
| Rivista: | |
| Abstract: | Stationarity tests exhibit extreme size distortions if the observable process is stationary yet highly persistent. In this paper we provide a theoretical explanation for the size distortion of the K PSS test for DGPs with a broad range of first order autocorrelation coefficient. Considering a near-integrated, nearly stationary process we show that the asymptotic distribution of the test contains an additional term, which can potentially explain the amount of size distortion documented in previous simulation studies. |
| Handle: | http://hdl.handle.net/11562/341076 |
| Appare nelle tipologie: | 01.01 Articolo in Rivista |
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