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

Anton Skrobotov ()

Working Papers from Gaidar Institute for Economic Policy

Abstract: In this paper we extend the stationarity test proposed by Kurozumi and Tanaka (2010) to reduce size distortion with one structural break in data generating process. We nd the bias up to the order of 1=T for four types of models containing structural breaks. Simulations on fininite samples show a decrease of size distortions relative to 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: 26 pages
Date: 2012, Revised 2013
New Economics Papers: this item is included in nep-ecm and nep-ets
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http://www.iep.ru/files/RePEc/gai/wpaper/0043Skrobotov.pdf Revised version, 2013 (application/pdf)

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Journal Article: Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion (2013) Downloads
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