Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5097418 | Journal of Econometrics | 2007 | 23 Pages |
Abstract
This paper proposes a test of the null hypothesis of stationarity that is robust to the presence of fat-tailed errors. The test statistic is a modified version of the so-called KPSS statistic. The modified statistic uses the “sign” of the data minus the sample median, whereas KPSS used deviations from means. This “indicator” KPSS statistic has the same limit distribution as the standard KPSS statistic under the null, without relying on assumptions about moments, but a different limit distribution under unit root alternatives. The indicator test has lower power than standard KPSS when tails are thin, but higher power when tails are fat.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Robert M. de Jong, Christine Amsler, Peter Schmidt,