Anton, Skrobotov - In: Journal of Time Series Econometrics 6 (2013) 1, pp. 33-61
In this article, we extend the stationarity test proposed by Kurozumi and Tanaka (2010. “Reducing the size distortion of the KPSS test.” Journal of Time Series Analysis 31:415–26) to reduce size distortion with one structural break in data generating process. We find the bias up to the...