|
| |
| AHAMADA IBRAHIM |
| |
| ''A complementary test for the KPSS test with an application to the US Dollar/Euro exchange rate'' |
| ( 2004, Vol. 3 No.4 ) |
| |
| |
| 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. |
| |
| |
| Keywords: |
JEL: C1 - Econometric and Statistical Methods: General
|
| |
| Manuscript Received : Nov 23 2003 | | Manuscript Accepted : Feb 19 2004 |
|
