IDEAS home Printed from https://ideas.repec.org/p/hit/econdp/2005-12.html

Construction of Stationarity Tests with Less Size Distortions

Author

Listed:
  • Kurozumi, Eiji
  • 黒住, 英司

Abstract

We propose a (trend) stationarity test with a good finite sample size even when a process is (trend) stationary with strong persistence; this is useful for distinguishing between a (trend) stationary process with strong persistence and a unit root process. It could be considered as a modified version of Leybourne and McCabe's test (1994, LMC), but with adi fferent correction method for serial correlation. A Monte Carlo simulation reveals that in terms of empirical size, our test is closer to the nominal one than the original LMC test and is more powerful than the LMC test with size-adjusted critical values.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Kurozumi, Eiji & 黒住, 英司, 2005. "Construction of Stationarity Tests with Less Size Distortions," Discussion Papers 2005-12, Graduate School of Economics, Hitotsubashi University.
    • Handle: RePEc:hit:econdp:2005-12
    as

    Download full text from publisher

    File URL: https://hit-u.repo.nii.ac.jp/record/2052372/files/070econDP05-12.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. is not listed on IDEAS
    2. Eiji Kurozumi & Shinya Tanaka, 2010. "Reducing the size distortion of the KPSS test," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(6), pages 415-426, November.

    More about this item

    Keywords

    ;
    ;
    ;

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hit:econdp:2005-12. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Digital Resources Section, Hitotsubashi University Library (email available below). General contact details of provider: https://edirc.repec.org/data/fehitjp.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.