Reducing the size distortion of the KPSS test

DOI10.1111/j.1467-9892.2010.00674.xzbMath1416.62466MaRDI 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 correction; size distortion; stationary test; boundary rule

Mathematics Subject Classification ID

62M07: Non-Markovian processes: hypothesis testing

Related Items

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

Cites Work

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• Reducing size distortions of parametric stationarity tests
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
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