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''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.
JEL: C1 - Econometric and Statistical Methods: General
Manuscript Received : Nov 23 2003 Manuscript Accepted : Feb 19 2004

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