Abstract #300657

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JSM 2003 Abstract #300657
Activity Number: 328
Type: Contributed
Date/Time: Wednesday, August 6, 2003 : 8:30 AM to 10:20 AM
Sponsor: Business & Economics Statistics Section
Abstract - #300657
Title: A Robust Version of the KPSS Test, Based on Indicators
Author(s): Christine E. Amsler*+
Companies: Michigan State University
Address: Dept. of Economics, East Lansing, MI, 48824,
Keywords: stationarity ; unit root ; short memory
Abstract:

This paper proposes a test of the null hypothesis of stationarity that is robust to the presence of fat-tailed errors. The test statistic is a modified version of the so-called KPSS statistic. The modified statistic uses an indicator of whether the observation is above or below the sample median, whereas KPSS used deviations from means. This indicator KPSS statistic has the same limit distribution as the standard KPSS statistic under the null, without relying on assumptions about moments, but a different limit distribution under the unit root alternative. The indicator test has lower power than the standard KPSS test when tails are thin, but higher power when tails are fat.

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