Reducing the size distortion of the KPSS test
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Publication:3103196
Recommendations
- Bias correction of KPSS test with structural break for reducing of size distortion
- The fragility of the KPSS stationarity test
- The KPSS test using fixed-b critical values: size and power in highly autocorrelated time series
- Modified stationarity tests with improved power in small samples
- On the power of the KPSS test of stationarity against fractionally-integrated alternatives
Cites work
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Consistent autoregressive spectral estimates
- Modified KPSS tests for near integration
- Reducing size distortions of parametric stationarity tests
- Size and power of tests of stationarity in highly autocorrelated time series
- THE IMPOSSIBILITY OF CONSISTENT DISCRIMINATION BETWEEN I(0) AND I(1) PROCESSES
- Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models
- 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?
- Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
Cited in
(7)- The fragility of the KPSS stationarity test
- A note on the size of the KPSS unit root test
- Size improvement of the KPSS test using sieve bootstraps
- A simple panel stationarity test in the presence of serial correlation and a common factor
- Nonparametric pseudo-Lagrange multiplier stationarity testing
- Bias correction of KPSS test with structural break for reducing of size distortion
- Reducing size distortions of parametric stationarity tests
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