Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion
AbstractIn this paper we extend the stationarity test proposed by Kurozumi and Tanaka (2010) to reduce size distortion with one structural break in data generating process. We nd the bias up to the order of 1=T for four types of models containing structural breaks. Simulations on fininite samples show a decrease of size distortions relative to other tests, thus receiving higher power.
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Bibliographic InfoPaper provided by Gaidar Institute for Economic Policy in its series Working Papers with number 0043.
Length: 26 pages
Date of creation: 2012
Date of revision: 2013
Stationarity tests; KPSS test; bias correction; size distortion; structural break.;
Other versions of this item:
- Skrobotov Anton, 2013. "Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion," Journal of Time Series Econometrics, De Gruyter, vol. 6(1), pages 33-61, December.
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-12-10 (All new papers)
- NEP-ECM-2012-12-10 (Econometrics)
- NEP-ETS-2012-12-10 (Econometric Time Series)
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