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Finite Sample Critical Values of the Generalized KPSS Stationarity Test

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  • Peter Sephton

    (Queen’s University)

Abstract

Testing for stationarity and unit roots has become standard practice in time series analysis and while many tests have known asymptotic properties, their small sample performance is sometimes less-well understood. Researchers rely on response surface regressions to provide small sample critical values for use in applied work. In this paper an updated series of Monte Carlo experiments provides response surface estimates of the critical 1, 5, and 10 % values of the Kwiatkowski et al. (J Econ 54: 91–115, 1992) test of stationarity and its generalization by Hobijn et al. (Stat Neerlandica 58(4): 483–502, 2004).

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  • Peter Sephton, 2017. "Finite Sample Critical Values of the Generalized KPSS Stationarity Test," Computational Economics, Springer;Society for Computational Economics, vol. 50(1), pages 161-172, June.
    • Handle: RePEc:kap:compec:v:50:y:2017:i:1:d:10.1007_s10614-016-9586-z
    DOI: 10.1007/s10614-016-9586-z
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    Cited by:

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    2. Sebastian Kripfganz & Daniel C. Schneider, 2020. "Response Surface Regressions for Critical Value Bounds and Approximate p‐values in Equilibrium Correction Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(6), pages 1456-1481, December.
    3. Sephton, Peter & Mann, Janelle, 2018. "Gold and crude oil prices after the great moderation," Energy Economics, Elsevier, vol. 71(C), pages 273-281.
    4. Sephton, Peter S., 2022. "Revisiting the inflation-hedging properties of precious metals in Africa," Resources Policy, Elsevier, vol. 77(C).
    5. John D. Levendis, 2018. "Time Series Econometrics," Springer Texts in Business and Economics, Springer, number 978-3-319-98282-3, August.
    6. Mann, Janelle & Sephton, Peter, 2019. "A (negative) replication of ‘The relationship between energy consumption, energy prices, and economic growth: Time series evidence from Asian developing countries’ (Energy Economics, 2000)," Energy Economics, Elsevier, vol. 82(C), pages 78-84.
    7. Peter S. Sephton, 2022. "Finite Sample Lag Adjusted Critical Values of the ADF-GLS Test," Computational Economics, Springer;Society for Computational Economics, vol. 59(1), pages 177-183, January.

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