The fragility of the KPSS stationarity test

Nunzio Cappuccio; Diego Lubian

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The fragility of the KPSS stationarity test

机译：KPSS平稳性测试的脆弱性

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摘要

Stationarity tests exhibit extreme size distortions if the observable process is stationary yet highly persistent. In this paper we provide a theoretical explanation for the size distortion of the KPSS test for DGPs with a broad range of first order autocorrelation coefficient. Considering a near-integrated, nearly stationary process we show that the asymptotic distribution of the test contains an additional term, which can potentially explain the amount of size distortion documented in previous simulation studies.

机译：如果可观察的过程是静止的但高度持久的，则平稳性测试会显示出极大的尺寸失真。在本文中，我们为具有宽范围的一阶自相关系数的DGP的KPSS测试的尺寸失真提供了理论解释。考虑到接近积分，接近平稳的过程，我们表明测试的渐近分布包含一个附加项，它可以潜在地解释以前的模拟研究中记录的尺寸失真量。

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来源
《Statistical Methods and Applications》 |2010年第2期|P.237-253|共17页
作者
Nunzio Cappuccio; Diego Lubian;
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作者单位

Department of Economics, University of Padova, via del Santo 33, 35123 Padova, Italy;

Department of Economics, University of Verona, via dell'Universita, 37129 Verona, Italy;

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正文语种 eng
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关键词
KPSS stationarity test; size distortion; nearly-white noise nearly integrated model;

机译：KPSS平稳性测试;尺寸变形近白噪声近集成模型;

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7. The fragility of the KPSS stationarity test [O] . Nunzio Cappuccio, Diego Lubian 2010

机译：KPSS平稳性测试的脆弱性

The fragility of the KPSS stationarity test

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