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Ahamada Ibrahim and Boutahar Mohamed
''Power of the KPSS test against shift in variance: a further investigation.''
( 2012, Vol. 32 No.1 )
This paper shows some failures of the KPSS test when the source of the nonstationarity is explained by an unconditional volatility shift. We provide the asymptotic moments of the statistic under general case of shifts in the unconditional variance. We find that these moments remain unchanged even under high abrupt changes. Finally a complementary test is proposed.
Keywords: KPSS test, Abrupt changes, Unconditional variance, Asymptotic moments.
JEL: C1 - Econometric and Statistical Methods: General
Manuscript Received : Oct 20 2011 Manuscript Accepted : Mar 12 2012

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