Consistency of the KPSS unit root test against fractionally integrated alternative

Lee, Hyung S.; Amsler, Christine

doi:10.1016/s0165-1765(97)00066-9

Cited by 25 publications

(11 citation statements)

References 15 publications

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“…The testing statistic M is then defined as M T = var(X) T S 2 , where X is the profile of the original series and the standard deviation S is defined in the same way as for the modified rescaled range test. Giraitis et al (2003) show that the rescaled variance test has better properties than the modified rescaled range which is further supported by Lee and Schmidt (1996) and Lee and Amsler (1997). Under the null hypothesis of no long-term memory, the statistic is distributed as…”

Section: Long-term Memorymentioning

confidence: 67%

Leverage effect in energy futures

Krištoufek

2014

Energy Economics

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We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a specific asset, focusing on energy commodities futures, namely Brent and WTI crude oils, natural gas and heating oil. After estimating the volatility process without assuming any specific form of its behavior, we find the volatility to be longterm dependent with the Hurst exponent on a verge of stationarity and non-stationarity. Bypassing this using by using the detrended cross-correlation and the detrending movingaverage cross-correlation coefficients, we find the standard leverage effect for both crude oil. For heating oil, the effect is not statistically significant, and for natural gas, we find the inverse leverage effect. Finally, we also show that none of the effects between returns and volatility is detected as the long-term cross-correlated one. These findings can be further utilized to enhance forecasting models and mainly in the risk management and portfolio diversification.

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Section: Long-term Memorymentioning

confidence: 67%

Leverage effect in energy futures

Krištoufek

2014

Energy Economics

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“…Moreover, Lee and Schmidt (1996) show that KPSS tests are also consistent against the stationary fractional alternative. Lee and Amsler (1997) show that KPSS tests are able to consistently distinguish short memory from stationary long memory, and these processes from nonstationary long-memory and 8 The real exchange rate is defined as log of (C$/US$) * (PUS/PCAN) for Canada and (Yen/US$) * (PUS/PJAP) for Japan, where PUS is the export price index of the US, PCAN is the export price index of Canada, and PJAP is the export price index of Japan. unit root.…”

Section: The Data and The Unit Root Testsmentioning

confidence: 99%

Exchange rate volatility and the United States exports: evidence from Canada and Japan

Choudhry

2005

Journal of the Japanese and International Economies

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“…Já Lee & Amsler (1997) mostraram que os testes de raiz unitária tradicionais seriam incapazes de distinguir um comportamento não-estacionário mas com reversão à média () de um não-estacionário (). 4 Hassler & Wolters (1994), Lee & Schmidt (1996) mostram inclusive que técnicas de integração fracionária poderiam ser bastante úteis para modelar desemprego.…”

Section: Introductionunclassified

Detecting breaks on the long memory: a case about the brazilian unemployment

Lima¹,

Oliveira

Silva³

2015

Econ. Aplic.

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ResumoEste estudo analisou o comportamento dinâmico da taxa de desemprego brasileiro focando no nível de persistência da série. Sendo assim, foram utilizados num primeiro momento modelos de integração fracioná-ria e testes de mudança de persistência da série. Os primeiros resultados exibiram um comportamento não estacionário da série. Contudo, sabendo que o negligenciamento de quebra estrutural pode levar a viés na estimativa do parâmetro fracionário, novas estimativas foram realizadas com os resultados indicando que a taxa de desemprego possui dois diferentes ní-veis de persistência. No primeiro, a série é não estacionária, enquanto que no segundo, não estacionária, mas com reversão à média.Palavras-chave: Persistência, mercado de trabalho, informalidade. AbstractThis study analyzed the dynamic behavior of the Brazilian unemployment rate, focusing on the persistence level of the series. For this purpose, it was adopted first models of fractionary integration, besides persistence change tests for the series. The first results indicated a non-stationary behavior of the series. However, knowing that neglecting a structural break can cause a bias on the parameter estimative, new estimations were made, which results indicated that the unemployment rate presents two different levels of persistence. On the first level, the series is no-stationary, whereas in the second, it is also non-stationary, but it presents a mean reversion feature.

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Consistency of the KPSS unit root test against fractionally integrated alternative

Cited by 25 publications

References 15 publications

Leverage effect in energy futures

Leverage effect in energy futures

Exchange rate volatility and the United States exports: evidence from Canada and Japan

Detecting breaks on the long memory: a case about the brazilian unemployment

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