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A note on the size of the KPSS unit root test

Jen-Je Su, Christine Amsler and Peter Schmidt

Economics Letters, 2012, vol. 117, issue 3, 697-699

Abstract: The KPSS unit root test with lags is asymptotically valid and the fixed-b asymptotic distribution predicts its critical values well. A small positive number of lags improves the size of the test, without much loss in power.

Keywords: KPSS test; Unit root; Fixed-b asymptotics (search for similar items in EconPapers)
JEL-codes: C20 C22 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.econlet.2012.08.019

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