Advanced Search
MyIDEAS: Login to save this article or follow this journal

Reducing the size distortion of the KPSS test

Contents:

Author Info

  • Eiji Kurozumi
  • Shinya Tanaka

Abstract

This article proposes a new stationarity test based on the KPSS test with less size distortion. We extend the boundary rule proposed by Sul et al. (2005) to the autoregressive spectral density estimator and parametrically estimate the long-run variance. We also derive the finite sample bias of the numerator of the test statistic up to the 1/T order and propose a correction to the bias term in the numerator. Finite sample simulations show that the correction term effectively reduces the bias in the numerator and that the finite sample size of our test is close to the nominal one as long as the long-run parameter in the model satisfies the boundary condition. Copyright 2010 Blackwell Publishing Ltd

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9892.2010.00674.x
File Function: link to full text
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Wiley Blackwell in its journal Journal of Time Series Analysis.

Volume (Year): 31 (2010)
Issue (Month): 6 (November)
Pages: 415-426

as in new window
Handle: RePEc:bla:jtsera:v:31:y:2010:i:6:p:415-426

Contact details of provider:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782

Order Information:
Web: http://www.blackwellpublishing.com/subs.asp?ref=0143-9782

Related research

Keywords:

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Josep Carrion-i-Silvestre & Andreu Sansó, 2006. "A guide to the computation of stationarity tests," Empirical Economics, Springer, Springer, vol. 31(2), pages 433-448, June.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Lee, Jin & Lee, Young Im, 2012. "Size improvement of the KPSS test using sieve bootstraps," Economics Letters, Elsevier, Elsevier, vol. 116(3), pages 483-486.
  2. Hadri, Kaddour & Kurozumi, Eiji, 2012. "A simple panel stationarity test in the presence of serial correlation and a common factor," Economics Letters, Elsevier, Elsevier, vol. 115(1), pages 31-34.
  3. Anton Skrobotov, 2012. "Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion," Working Papers, Gaidar Institute for Economic Policy 0043, Gaidar Institute for Economic Policy, revised 2013.
  4. Eiji Kurozumi & Daisuke Yamazaki & Kaddour Hadri, 2012. "Covariate Unit Root Test for Cross-Sectionally Dependent Panel Data," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University gd12-256, Institute of Economic Research, Hitotsubashi University.
  5. Manuel Landajo & María Presno, 2013. "Nonparametric pseudo-Lagrange multiplier stationarity testing," Annals of the Institute of Statistical Mathematics, Springer, Springer, vol. 65(1), pages 125-147, February.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:31:y:2010:i:6:p:415-426. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.