Reducing the size distortion of the KPSS test
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DOI: 10.1111/j.1467-9892.2010.00674.x
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- Eiji Kurozumi & Shinya Tanaka, 2009. "Reducing the Size Distortion of the KPSS Test," Global COE Hi-Stat Discussion Paper Series gd09-085, Institute of Economic Research, Hitotsubashi University.
References listed on IDEAS
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Citations
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Cited by:
- Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
- Hadri, Kaddour & Kurozumi, Eiji, 2012.
"A simple panel stationarity test in the presence of serial correlation and a common factor,"
Economics Letters, Elsevier, vol. 115(1), pages 31-34.
- Kaddour Hadri & Eiji Kurozumi, 2011. "A Simple Panel Stationarity Test in the Presence of Serial Correlation and a Common Factor," Economics Working Papers 11-01, Queen's Management School, Queen's University Belfast.
- Nazlioglu, Saban & Karul, Cagin, 2017. "A panel stationarity test with gradual structural shifts: Re-investigate the international commodity price shocks," Economic Modelling, Elsevier, vol. 61(C), pages 181-192.
- Eiji Kurozumi & Daisuke Yamazaki & Kaddour Hadri, 2012.
"Covariate Unit Root Test for Cross-Sectionally Dependent Panel Data,"
Global COE Hi-Stat Discussion Paper Series
gd12-256, Institute of Economic Research, Hitotsubashi University.
- Eiji Kurozumi & Daisuke Yamazaki & Kaddour Hadri, 2013. "Covariate Unit Root Test for Cross-Sectionally Dependent Panel Data," Economics Working Papers 13-01, Queen's Management School, Queen's University Belfast.
- Petrenko, Victoria (Петренко, ВИктория) & Skrobotov, Anton (Скроботов, Антон) & Turuntseva, Maria (Турунцева, Мария), 2016. "Testing of Changes in Persistence and Their Effect on the Forecasting Quality [Тестирование Изменения Инерционности И Влияние На Качество Прогнозов]," Working Papers 542, Russian Presidential Academy of National Economy and Public Administration.
- Lee, Jin & Lee, Young Im, 2012. "Size improvement of the KPSS test using sieve bootstraps," Economics Letters, Elsevier, vol. 116(3), pages 483-486.
- Skrobotov Anton, 2013.
"Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion,"
Journal of Time Series Econometrics, De Gruyter, vol. 6(1), pages 33-61, December.
- Anton Skrobotov, 2012. "Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion," Working Papers 0043, Gaidar Institute for Economic Policy, revised 2013.
- Manuel Landajo & María Presno, 2013. "Nonparametric pseudo-Lagrange multiplier stationarity testing," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 65(1), pages 125-147, February.
- Tang, Chor Foon & Tan, Bee Wah, 2015. "The impact of energy consumption, income and foreign direct investment on carbon dioxide emissions in Vietnam," Energy, Elsevier, vol. 79(C), pages 447-454.
- Kaddour Hadri & Eiji Kurozumi & Daisuke Yamazaki, 2015. "Synergy between an Improved Covariate Unit Root Test and Cross-sectionally Dependent Panel Data Unit Root Tests," Manchester School, University of Manchester, vol. 83(6), pages 676-700, December.
- Anton Skrobotov, 2012. "Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion - in Russian," Working Papers 0044, Gaidar Institute for Economic Policy, revised 2012.
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JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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