Reducing the size distortion of the KPSS test
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Publication:3103196
DOI10.1111/J.1467-9892.2010.00674.XzbMATH Open1416.62466OpenAlexW2172099869MaRDI QIDQ3103196FDOQ3103196
Authors: Eiji Kurozumi, Shinya Tanaka 
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
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
- Consistent autoregressive spectral estimates
- 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?
- Size and power of tests of stationarity in highly autocorrelated time series
- 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
- Modified KPSS tests for near integration
- THE IMPOSSIBILITY OF CONSISTENT DISCRIMINATION BETWEEN I(0) AND I(1) PROCESSES
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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