A note on the size of the KPSS unit root test
Author(s)
Su, Jen-Je
Amsler, Christine
Schmidt, Peter
Griffith University Author(s)
Year published
2012
Metadata
Show full item recordAbstract
The KPSS unit root test with lags is asymptotically valid and the fixed-b asymptotic distribution predicts its critical values well. A small positive number of lags improves the size of the test, without much loss in power.The KPSS unit root test with lags is asymptotically valid and the fixed-b asymptotic distribution predicts its critical values well. A small positive number of lags improves the size of the test, without much loss in power.
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Journal Title
Economics Letters
Volume
117
Issue
3
Subject
Economics
Time-series analysis