A note on the size of the KPSS unit root test

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.

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Year of publication:	2012
Authors:	Su, Jen-Je ; Amsler, Christine ; Schmidt, Peter
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 117.2012, 3, p. 697-699
Publisher:	Elsevier
Subject:	KPSS test \| Unit root \| Fixed-b asymptotics

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Type of publication:	Article
Classification:	C20 - Econometric Methods: Single Equation Models. General ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010594154