Lee, Jin; Lee, Young Im - In: Economics Letters 116 (2012) 3, pp. 483-486
It is widely known that size distortions of the so-called KPSS stationarity test, introduced in Kwiatkowski et al. (1992), become severe with persistent data. We propose the sieve bootstrap introduced by Bühlmann (1998) as an appropriate bootstrap for dependent processes, to obtain notable...