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

Anton Skrobotov ()

Journal of Time Series Econometrics, 2013, vol. 6, issue 1, 33-61

Abstract: In this article, we extend the stationarity test proposed by Kurozumi and Tanaka (2010. “Reducing the size distortion of the KPSS test.” Journal of Time Series Analysis 31:415–26) to reduce size distortion with one structural break in data generating process. We find the bias up to the order of for four types of models containing structural breaks. Simulations on finite samples show a decrease of size distortions relative to other tests, thus receiving higher power.

Date: 2013
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