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Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion

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  • Skrobotov Anton

    (Russian Presidential Academy of National Economyand Public Administration, 82, Vernadsky pr., 117571, Moscow, Russia)

Abstract

In this article, we extend the stationarity test proposed by Kurozumi and Tanaka (2010. “Reducing the size distortion of the KPSS test.” Journal of Time Series Analysis 31:415–26) to reduce size distortion with one structural break in data generating process. We find the bias up to the order of for four types of models containing structural breaks. Simulations on finite samples show a decrease of size distortions relative to other tests, thus receiving higher power.

Suggested Citation

  • 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.
    • Handle: RePEc:bpj:jtsmet:v:6:y:2013:i:1:p:33-61:n:1
    DOI: 10.1515/jtse-2012-0031
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    References listed on IDEAS

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    1. Carrion-i-Silvestre, Josep Lluís & Kim, Dukpa & Perron, Pierre, 2009. "Gls-Based Unit Root Tests With Multiple Structural Breaks Under Both The Null And The Alternative Hypotheses," Econometric Theory, Cambridge University Press, vol. 25(6), pages 1754-1792, December.
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    Cited by:

    1. Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.

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    More about this item

    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; Diffusion Processes

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