Reducing the size distortion of the KPSS test
نویسندگان
چکیده
منابع مشابه
Reducing the Size Distortion of the KPSS Test
This paper proposes a new stationarity test based on the KPSS test with less size distortion. We extend the boundary rule proposed by Sul, Phillips and Choi (2005) to the autoregressive spectral density estimator and parametrically estimate the long-run variance. We also derive the finite sample bias of the numerator of the test statistic up to the 1/T order and propose a correction to the bias...
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2010
ISSN: 0143-9782
DOI: 10.1111/j.1467-9892.2010.00674.x