Ibrahim, Ahamada; Mohamed, Boutahar - In: Economics Bulletin 32 (2012) 1, pp. 854-865
This paper shows some failures of the KPSS test when the source of the nonstationarity is explained by an unconditional volatility shift. We provide the asymptotic moments of the statistic under general case of shifts in the unconditional variance. We find that these moments remain unchanged...