Reducing the size distortion of the KPSS test
AbstractThis 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
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Journal of Time Series Analysis.
Volume (Year): 31 (2010)
Issue (Month): 6 (November)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782
Other versions of this item:
- Eiji Kurozumi & Shinya Tanaka, 2009. "Reducing the Size Distortion of the KPSS Test," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University gd09-085, Institute of Economic Research, Hitotsubashi University.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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.:
- 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.
- 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.
- 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.
- 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.
- Skrobotov Anton, 2013. "Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion," Journal of Time Series Econometrics, De Gruyter, De Gruyter, vol. 6(1), pages 33-61, December.
- 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.
- 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.
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