Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion - in Russian
In 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.
|Date of creation:||2012|
|Date of revision:||2012|
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