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The finite sample distribution of the KPSS test

Author

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  • ATTILA HORNOK
  • ROLF LARSSON

Abstract

This paper gives numerical approximations of the finite sample distribution of the KPSS test statistic. We use two types of approximations depending on whether we estimate the long-run variance or not. In the known variance case we apply a very simple Laplace inversion formula, while in the unknown case we use saddlepoint approximation to calculate the right-hand tail of the distribution of the KPSS test statistic. In the unknown variance case, we also investigate the robustness of the test to non i.i.d. innovations.

Suggested Citation

  • Attila Hornok & Rolf Larsson, 2000. "The finite sample distribution of the KPSS test," Econometrics Journal, Royal Economic Society, vol. 3(1), pages 108-121.
    • Handle: RePEc:ect:emjrnl:v:3:y:2000:i:1:p:108-121
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    Cited by:

    1. Jean-Francois Hoarau, 2010. "Does long-run purchasing power parity hold in Eastern and Southern African countries? Evidence from panel data stationary tests with multiple structural breaks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(4), pages 307-315.
    2. Chen, Jyh-Yaw Joseph & Giles, David E.A., 2004. "Gender convergence in crime: Evidence from Canadian adult offense charge data," Journal of Criminal Justice, Elsevier, vol. 32(6), pages 593-606.
    3. Kristian Jönsson, 2011. "Testing Stationarity in Small‐ and Medium‐Sized Samples when Disturbances are Serially Correlated," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(5), pages 669-690, October.
    4. David EA Giles, 2005. "Output Convergence and International Trade: Time-Series and Fuzzy Clustering Evidence for New Zealand and her Trading Partners, 1950 - 1992," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 14(1), pages 93-114.
    5. David Giles & Chad Stroomer, 2006. "Does Trade Openness Affect the Speed of Output Convergence? Some Empirical Evidence," Empirical Economics, Springer, vol. 31(4), pages 883-903, November.
    6. Jac Heckelman & Sandeep Mazumder, 2013. "Are we there yet? On the convergence of financial reforms," Economics of Governance, Springer, vol. 14(4), pages 385-409, November.
    7. Jönsson, Kristian, 2006. "Finite-Sample Stability of the KPSS Test," Working Papers 2006:23, Lund University, Department of Economics.

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