Testing the Power of a Generalization of the KPSS-Tests against Fractionally Integrated Hypotheses

  • Authors:

  • L. A. Gil-Alana

  • Affiliations:

  • Humboldt Universität zu Berlin, Institut für Statistik und Ökonometrie, Berlin, Germany and Universidad de Navarra, Facultad de Ciencias Economicas, Edificio Biblioteca, Entrada Est ...

  • Venue:
  • Computational Economics
  • Year:
  • 2003

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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(d0) stationary or nonstationary processes. An empiricalapplication, showing the performance of the tests in finite samples is alsocarried out at the end of the article.