0) stationary or nonstationary processes. An empiricalapplication, showing the performance of the tests in finite samples is alsocarried out at the end of the article. Copyright Kluwer Academic Publishers 2003"> 0) stationary or nonstationary processes. An empiricalapplication, showing the performance of the tests in finite samples is alsocarried out at the end of the article. Copyright Kluwer Academic Publishers 2003">
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Testing the Power of a Generalization of the KPSS-Tests against Fractionally Integrated Hypotheses

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  • L.A. Gil-Alana
Abstract
We analyse in this article the size and the power properties of differentgeneralizations of the KPSS-tests proposed by Hobjin et al. (1998) for testingthe null hypothesis of stationarity in univariate time series when thealternatives are of a fractional form. We show that the test based on the useof the Quadratic Spectral kernel along with an automatic bandwidth selectionprocedure produces the best results and thus, it might be employed for testingI(0) against I(d>0) stationary or nonstationary processes. An empiricalapplication, showing the performance of the tests in finite samples is alsocarried out at the end of the article. Copyright Kluwer Academic Publishers 2003

Suggested Citation

  • L.A. Gil-Alana, 2003. "Testing the Power of a Generalization of the KPSS-Tests against Fractionally Integrated Hypotheses," Computational Economics, Springer;Society for Computational Economics, vol. 22(1), pages 23-38, August.
    • Handle: RePEc:kap:compec:v:22:y:2003:i:1:p:23-38
    DOI: 10.1023/A:1024553430101
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    4. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    5. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
    6. Gil-Alana, Luis A., 2000. "Mean reversion in the real exchange rates," Economics Letters, Elsevier, vol. 69(3), pages 285-288, December.
    7. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-858, May.
    8. L. A. Gil-Alana & P. M. Robinson, 2001. "Testing of seasonal fractional integration in UK and Japanese consumption and income," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(2), pages 95-114.
    9. Baillie, Richard T & Bollerslev, Tim, 1994. "Cointegration, Fractional Cointegration, and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 737-745, June.
    10. Christopher F. Baum, 2001. "Tests for stationarity of a time series," Stata Technical Bulletin, StataCorp LP, vol. 10(57).
    11. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
    12. Choi, In, 1994. "Residual-Based Tests for the Null of Stationarity with Applications to U.S. Macroeconomic Time Series," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 720-746, August.
    13. Diebold, Francis X. & Rudebusch, Glenn D., 1989. "Long memory and persistence in aggregate output," Journal of Monetary Economics, Elsevier, vol. 24(2), pages 189-209, September.
    14. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
    15. Leybourne, S J & McCabe, B P M, 1994. "A Consistent Test for a Unit Root," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(2), pages 157-166, April.
    16. Bart Hobijn & Philip Hans Franses & Marius Ooms, 2004. "Generalizations of the KPSS‐test for stationarity," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 58(4), pages 483-502, November.
    17. C. W. J. Granger & Roselyne Joyeux, 1980. "An Introduction To Long‐Memory Time Series Models And Fractional Differencing," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 15-29, January.
    18. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
    19. Gil-Alana, Luis A., 1999. "Testing fractional integration with monthly data," Economic Modelling, Elsevier, vol. 16(4), pages 613-629, December.
    20. William R. Parke, 1999. "What Is Fractional Integration?," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 632-638, November.
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    2. Li, Hemei & Liu, Zhenya & Xiao, Zhijie, 2024. "Sequential monitoring of stock market price changes," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 156-172.

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    Keywords

    C12; C15; C22;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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