Testing for Stationarity at High Frequency

Bibo Jiang, Ye Lu, Joon Y. Park

Research output: Contribution to journalArticlepeer-review

1 Scopus citations


The high frequency behavior of the KPSS test, which is most commonly used to test for stationarity, is analyzed in a continuous time framework. Our asymptotics show that the test has no discriminatory power at high frequency: It either always rejects stationarity or has no nontrivial power at high frequency. The test becomes valid at high frequency only when the bandwidth of its long-run variance estimate is chosen suitably in our framework. We also analyze the residual-based KPSS test for cointegration.

Original languageEnglish (US)
Pages (from-to)341-374
Number of pages34
JournalJournal of Econometrics
Issue number2
StatePublished - Apr 2020

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics


Dive into the research topics of 'Testing for Stationarity at High Frequency'. Together they form a unique fingerprint.

Cite this