Consistency of the KPSS unit root test against fractionally integrated alternative

被引：20

作者：

Lee, HS

Amsler, C

机构：

[1] MINIST FINANCE & ECON, ECON POLICY BUR, REG ECON DIV, KWACHEON 427760, KYUNGGI DO, SOUTH KOREA

[2] MICHIGAN STATE UNIV, DEPT ECON, E LANSING, MI 48824 USA

来源：

ECONOMICS LETTERS | 1997年 / 55卷 / 02期

关键词：

nonstationary long memory; unit root; stationarity test statistic;

D O I：

10.1016/S0165-1765(97)00066-9

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We derive the asymptotic distribution of the Kwiatkowski et al. (1992) statistic under nonstationary long memory (1/2<d<1). Its order in probability is the same under nonstationary long memory as under a unit root. It cannot, therefore, distinguish consistently between the two cases. (C) 1997 Elsevier Science S.A.

引用

页码：151 / 160

页数：10

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