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

In this paper we extend the stationarity test proposed by Kurozumi and Tanaka (2010) for reducing size distortion with one structural break. We find the bias up to the order of 1/T for four types of models containing structural breaks. The simulations on finite samples show a reduction of size distortions in comparison with other tests, thus receiving higher power.

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Year of publication:	2012
Authors:	Skrobotov, Anton
Institutions:	Gaidar Institute for Economic Policy
Subject:	Stationarity tests \| KPSS test \| bias correction \| size distortion \| structural break

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	24 pages
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010607107