Empirical power of the Kwiatkowski-Phillips-Schmidt-Shin test

• Autorzy: Ewa Marta Syczewska
• Języki publikacji: EN

Abstrakty

EN

The aim of this paper is to study properties of the Kwiatkowski-Phillips-Schmidt-Shin test (KPSS test), introduced in Kwiatkowski et al. (1992) paper. The null of the test corresponds to stationarity of a series, the alternative to its nonstationarity. Distribution of the test statistics is nonstandard, asymptotically converges to Brownian bridges as was shown in original paper. The authors produced tables of critical values based on asymptotic approximation. Here we present results of simulation experiment aimed at studying small sample properties of the test and its empirical power.(original abstract)

Słowa kluczowe

EN

Kwiatkowski-Phillips-Schmidt-Shin test; Empirical researches

PL

Test Kwiatkowskiego-Phillipsa-Schmidta-Shina (test KPSS); Badania empiryczne

• Czasopismo: Department of Applied Econometrics Working Papers
• Rocznik: 2010
• Numer: nr 3
• Strony: 21

Twórcy

autor

Ewa Marta Syczewska

• Szkoła Główna Handlowa w Warszawie

Bibliografia

• Amano, R.A., S. van Norden (1992): Unit-Root Test and the Burden of Proof, file ewp-em/9502005 in: http://econwpa.wustl.edu/econ-wp/em/papers/9502/ 9502005.pdf.
• Dickey D.A., Dennis W. Jansen, Daniel L. Thornton (1991): A Primer on Cointegration with an Application to Money and Income, Federal Reserve Bank of St. Louis, 58-78, reprinted in Rao (1995).
• Dickey, D.A. W.A. Fuller ( 1979): Distribution of the Estimators for Autoregressive Time Series with a Unit Root, Journal of the American Statistical Association, 74, pp. 427-31.
• Dickey, D.A. W.A. Fuller (1981): Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root, Econometrica, 49, pp. 1057-72.
• Diebold, F. X., G. D. Rudebusch (1991): On the Power of Dickey-Fuller Tests Against Fractional Alternatives, Economic Letters, 35, pp. 155-160.
• Kwiatkowski, D., P.C.B. Phillips, P. Schmidt, Y. Shin (1992): Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root, Journal of Econometrics, 54, pp. 159-178, North-Holland.
• MacNeill, I. (1978): Properties of Sequences of Partial Sums of Polynomial Regression Residuals with Applications to tests for Change of Regression at Unknown Times, Annals of Statistics, 6, pp. 422-433.
• Mills, T.C., (1993): The Econometric Modelling of Financial Time Series, Cambridge University Press, Cambridge.
• Nabeya, S., K. Tanaka (1988): Asymptotic Theory of a Test for the Constancy of Regression Coefficients against the Random Walk Alternative, Annals of Statistics, 16, pp. 218-235.
• Phillips, P.C.B., P. Perron (1988): Testing for a Unit Root in Time Series Regression, Biometrika, 75, pp. 335-346.
• Rao, B. Bhaskara (1995): Cointegration for the Applied Economist, Macmillan, London.