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Size improvement of the KPSS test using sieve bootstraps. (English) Zbl 1255.62135
Summary: It is widely known that size distortions of the so-called KPSS stationarity test, introduced by D. Kwiatkowski, P.C.B. Phillips, P. Schmidt and Y. Shin [J. Econom. 54, No. 1-3, 159–178 (1992; Zbl 0871.62100)], become severe with persistent data. We propose the sieve bootstrap introduced by P. Bühlmann [Ann. Stat. 26, No. 1, 48–83 (1998; Zbl 0934.62039)] as an appropriate bootstrap for dependent processes, to obtain notable size improvement of the KPSS test. Our simulation studies demonstrate that sieve bootstrap can be effective in refining the finite-sample size performance.
MSC:
62G10 Nonparametric hypothesis testing
62G09 Nonparametric statistical resampling methods
65C60 Computational problems in statistics (MSC2010)
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