Title of article
Testing stationarity under a permanent variance shift
Author/Authors
Giuseppe Cavaliere، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2004
Pages
6
From page
403
To page
408
Abstract
The consequences of a permanent change in the variance of the errors of an I(0) or I(1) process on the distribution of the KPSS stationarity test are analyzed. It is shown that the size of the test can be seriously affected by variance shifts while the consistency property of the test is not.
Keywords
Stationarity tests , Structural breaks , Integrated processes
Journal title
Economics Letters
Serial Year
2004
Journal title
Economics Letters
Record number
435375
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