Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion - in Russian

Anton Skrobotov
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Anton Skrobotov: Gaidar Institute for Economic Policy

Working Papers from Gaidar Institute for Economic Policy

Abstract: In this paper we extend the stationarity test proposed by Kurozumi and Tanaka (2010) for reducing size distortion with one structural break. We find the bias up to the order of 1/T for four types of models containing structural breaks. The simulations on finite samples show a reduction of size distortions in comparison with other tests, thus receiving higher power.

Keywords: Stationarity tests; KPSS test; bias correction; size distortion; structural break. (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2012, Revised 2012
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https://www.iep.ru/files/RePEc/gai/wpaper/0044Skrobotov.pdf Revised version, 2012 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:gai:wpaper:0044

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