Size improvement of the KPSS test using sieve bootstraps

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 size improvement of the KPSS test. Our simulation studies demonstrate that sieve bootstraps can be effective in refining the finite-sample size performance.

MoreLess

Year of publication:	2012
Authors:	Lee, Jin ; Lee, Young Im
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 116.2012, 3, p. 483-486
Publisher:	Elsevier
Subject:	Stationarity \| KPSS test \| Size distortion \| Sieve bootstraps

More details

Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011041723