Testing for Stationarity at High Frequency

Bibo Jiang; Ye Lu; Joon Y. Park

doi:10.1016/j.jeconom.2019.09.004

Testing for Stationarity at High Frequency

Bibo Jiang, Ye Lu, Joon Y. Park

Research output: Contribution to journal › Article › peer-review

2 Scopus citations

Abstract

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 language	English (US)
Pages (from-to)	341-374
Number of pages	34
Journal	Journal of Econometrics
Volume	215
Issue number	2
DOIs	https://doi.org/10.1016/j.jeconom.2019.09.004
State	Published - Apr 2020

All Science Journal Classification (ASJC) codes

Economics and Econometrics

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10.1016/j.jeconom.2019.09.004

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title = "Testing for Stationarity at High Frequency",

abstract = "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.",

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AB - 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.

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Testing for Stationarity at High Frequency

Abstract

All Science Journal Classification (ASJC) codes

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