The finite sample distribution of the KPSS test

Attila Hornok and Rolf Larsson

Econometrics Journal, 2000, vol. 3, issue 1, 108-121

Abstract: This paper gives numerical approximations of the finite sample distribution of the KPSS test statistic. We use two types of approximations depending on whether we estimate the long-run variance or not. In the known variance case we apply a very simple Laplace inversion formula, while in the unknown case we use saddlepoint approximation to calculate the right-hand tail of the distribution of the KPSS test statistic. In the unknown variance case, we also investigate the robustness of the test to non i.i.d. innovations.

Keywords: Unit root; KPSS test; Laplace inversion; Saddlepoint approximation. (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:ect:emjrnl:v:3:y:2000:i:1:p:108-121

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