Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion - in Russian
AbstractIn this paper we extend the stationarity test proposed by Kurozumi and Tanaka (2010) for reducing size distortion with one structural break. We find the bias up to the order of 1/T for four types of models containing structural breaks. The simulations on finite samples show a reduction of size distortions in comparison with 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 0044.
Length: 24 pages
Date of creation: 2012
Date of revision: 2012
Stationarity tests; KPSS test; bias correction; size distortion; structural break.;
Find related papers by JEL classification:
- 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-2012-12-15 (All new papers)
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