Size improvement of the KPSS test using sieve bootstraps

Jin Lee and Young Im Lee

Economics Letters, 2012, vol. 116, issue 3, 483-486

Abstract: It is widely known that size distortions of the so-called KPSS stationarity test, introduced in Kwiatkowski et al. (1992), become severe with persistent data. We propose the sieve bootstrap introduced by Bühlmann (1998) as an appropriate bootstrap for dependent processes, to obtain notable size improvement of the KPSS test. Our simulation studies demonstrate that sieve bootstraps can be effective in refining the finite-sample size performance.

Keywords: Stationarity; KPSS test; Size distortion; Sieve bootstraps (search for similar items in EconPapers)
JEL-codes: C12 C14 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:116:y:2012:i:3:p:483-486

DOI: 10.1016/j.econlet.2012.04.054

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