A note on the size of the KPSS unit root test
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Author(s)
Su, Jen-Je
Amsler, Christine
Schmidt, Peter
Amsler, Christine
Schmidt, Peter
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Badi H. Baltagi, Andrew Samwick, Pierre-Daniel Sarte, Roberto Serrano
Date
2012
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Abstract
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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Economics Letters
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117
Issue
3
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Subject
Economics
Time-series analysis