Reducing the size distortion of the KPSS test

DOI10.1111/j.1467-9892.2010.00674.xzbMath1416.62466OpenAlexW2172099869MaRDI QIDQ3103196

Shinya Tanaka, Eiji Kurozumi

Publication date: 26 November 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00674.x

zbMATH Keywords

bias correctionsize distortionstationary testboundary rule

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07)

Related Items (4)

Nonparametric pseudo-Lagrange multiplier stationarity testing ⋮ Bias correction of KPSS test with structural break for reducing of size distortion ⋮ A simple panel stationarity test in the presence of serial correlation and a common factor ⋮ Size improvement of the KPSS test using sieve bootstraps

Cites Work

• Size and power of tests of stationarity in highly autocorrelated time series
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Consistent autoregressive spectral estimates
• MODIFIED KPSS TESTS FOR NEAR INTEGRATION
• THE IMPOSSIBILITY OF CONSISTENT DISCRIMINATION BETWEEN I(0) AND I(1) PROCESSES
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Reducing size distortions of parametric stationarity tests
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
• Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models

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