Xiao, Zhijie; Lima, Luiz Renato - In: Econometric Reviews 26 (2007) 6, pp. 643-667
In this paper, we show that the widely used stationarity tests such as the Kwiatkowski Phillips, Schmidt, and Shin (KPSS) test have power close to size in the presence of time-varying unconditional variance. We propose a new test as a complement of the existing tests. Monte Carlo experiments...