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The finite sample distribution of the KPSS test

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  • ATTILA HORNOK
  • ROLF LARSSON
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    Abstract

    This paper gives numerical approximations of the finite sample distribution of the KPSS test statistic. We use two types of approximations depending on whether we estimate the long-run variance or not. In the known variance case we apply a very simple Laplace inversion formula, while in the unknown case we use saddlepoint approximation to calculate the right-hand tail of the distribution of the KPSS test statistic. In the unknown variance case, we also investigate the robustness of the test to non i.i.d. innovations.

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    Bibliographic Info

    Article provided by Royal Economic Society in its journal The Econometrics Journal.

    Volume (Year): 3 (2000)
    Issue (Month): 1 ()
    Pages: 108-121

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    Handle: RePEc:ect:emjrnl:v:3:y:2000:i:1:p:108-121

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    Related research

    Keywords: Unit root; KPSS test; Laplace inversion; Saddlepoint approximation.;

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    Cited by:
    1. David E. A. Giles & Chad Stroomer, 2003. "Does Trade Openness Affect the Speed of Output Convergence? Some Empirical Evidence," Econometrics Working Papers 0307, Department of Economics, University of Victoria.
    2. Chen, Jyh-Yaw Joseph & Giles, David E.A., 2004. "Gender convergence in crime: Evidence from Canadian adult offense charge data," Journal of Criminal Justice, Elsevier, vol. 32(6), pages 593-606.
    3. Jac Heckelman & Sandeep Mazumder, 2013. "Are we there yet? On the convergence of financial reforms," Economics of Governance, Springer, vol. 14(4), pages 385-409, November.

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