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Empirical power of the Kwiatkowski-Phillips-Schmidt-Shin test

Ewa Syczewska ()

No 45, Working Papers from Department of Applied Econometrics, Warsaw School of Economics

Abstract: The aim of this paper is to study properties of the Kwiatkowski-Phillips-Schmidt-Shin test (KPSS test), introduced in Kwiatkowski et al. (1992) paper. The null of the test corresponds to stationarity of a series, the alternative to its nonstationarity. Distribution of the test statistics is nonstandard, asymptotically converges to Brownian bridges as was shown in original paper. The authors produced tables of critical values based on asymptotic approximation. Here we present results of simulation experiment aimed at studying small sample properties of the test and its empirical power.

Keywords: KPSS test; stationarity; integration; empirical power of KPSS test (search for similar items in EconPapers)
JEL-codes: C12 C16 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2010-09-23
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