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| Author: | Lee, D. Schmidt, P. |
| Title: | On the power of the KPSS test of stationarity against fractionally-integrated alternatives |
| Journal: | Journal of Econometrics
1996 : JUL, VOL. 73:1, p. 285-302 |
| Index terms: | ECONOMICS POWER ECONOMETRICS |
| Language: | eng |
| Abstract: | Kwiatkowski, Phillips, Schmidt, and Shin (KPSS) proposed a test of the null hypothesis of stationarity. However, their distribution theory under the null hypothesis assumes that the series in question has short memory, that is, its partial sum satisfies an invariance principle. This paper shows that the KPSS test is consistent against stationary long memory alternatives. The power of the KPSS test in finite samples is found to be comparable to that of Lo's modified rescaled range test. |
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