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The finite sample distribution of the KPSS test

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    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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    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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