Title of article :
Testing stationarity under a permanent variance shift
Author/Authors :
Giuseppe Cavaliere، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2004
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
Journal title :
Economics Letters