Testing stationarity under a permanent variance shift

被引：20

作者：

Cavaliere, G ^{[1
]}

机构：

[1] Univ Bologna, Dept Stat Sci, I-40126 Bologna, Italy

来源：

ECONOMICS LETTERS | 2004年 / 82卷 / 03期

关键词：

stationarity tests; integrated processes; structural breaks;

D O I：

10.1016/j.econlet.2003.08.014

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2004 Elsevier B.V. All rights reserved.

引用

页码：403 / 408

页数：6

共 6 条

[1]

Cavaliere G., 2003, ECONOMET J, V6, P193, DOI DOI 10.1111/1368-423X.00107

[2] Testing for a unit root in the presence of a variance shift [J].