We propose automatic generalizations of the KPSS-test for the null hypothesis of stationarity of a univariate time series. We can use these tests for the null hypotheses of trend stationarity, level stationarity and zero mean stationarity. We introduce the asymptotic null distributions and we determine consistency against relevant nonstationary alternatives. We compare the properties of the tests with those of other proposed tests for stationarity. Monte Carlo simulations support the relevance of the tests when an autoregressive process with large positive autocorrelations is likely under the null hypothesis.

Additional Metadata
Keywords KPSS-test, Monte Carlo simulations, stationarity
Persistent URL dx.doi.org/10.1111/j.1467-9574.2004.00272.x, hdl.handle.net/1765/13345
Journal Statistica Neerlandica
Citation
Hobijn, B, Franses, Ph.H.B.F, & Ooms, M. (2004). Generalizations of the KPSS-test for Stationarity. Statistica Neerlandica, 58(4), 483–502. doi:10.1111/j.1467-9574.2004.00272.x