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A PROOF OF THE POWER OF KIM'S TEST AGAINST STATIONARY PROCESSES WITH STRUCTURAL BREAKS

Published online by Cambridge University Press:  23 September 2005

Jorge Belaire-Franch
Jorge Belaire-Franch
Affiliation:
University of Valencia
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Abstract

In this note we show that, when the true data generating process is a stationary one around a constant term with a break, the stationarity test of Kim (2000, Journal of Econometrics 95, 97–116) against the alternative hypothesis of change of persistence rejects the null of stationarity asymptotically with probability one.I am grateful to an anonymous referee for his useful comments, which have helped to improve the content and presentation of this note. I acknowledge financial support from Ministerio de Ciencia y Tecnología, project SEC2003-09205.

Information

Type
Notes and Problems
Information
Econometric Theory , Volume 21 , Issue 6 , December 2005 , pp. 1172 - 1176
Copyright
© 2005 Cambridge University Press

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References

REFERENCES

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