Testing for Stationarity at High Frequency

Bibo Jiang, Ye Lu, Joon Y. Park

Research output: Contribution to journalArticle

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 languageEnglish (US)
Pages (from-to)341-374
Number of pages34
JournalJournal of Econometrics
Volume215
Issue number2
DOIs
StatePublished - Apr 2020

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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