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Size improvement of the KPSS test using sieve bootstraps

Title
Size improvement of the KPSS test using sieve bootstraps
Authors
Lee J.Lee Y.I.
Ewha Authors
이진
SCOPUS Author ID
이진scopus
Issue Date
2012
Journal Title
Economics Letters
ISSN
0165-1765JCR Link
Citation
vol. 116, no. 3, pp. 483 - 486
Indexed
SSCI; SCOPUS WOS scopus
Abstract
It is widely known that size distortions of the so-called KPSS stationarity test, introduced in Kwiatkowski etal. (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. © 2012 Elsevier B.V.
DOI
10.1016/j.econlet.2012.04.054
Appears in Collections:
사회과학대학 > 경제학전공 > Journal papers
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