an:06117209
Zbl 1255.62135
Lee, Jin; Lee, Young Im
Size improvement of the KPSS test using sieve bootstraps
EN
Econ. Lett. 116, No. 3, 483-486 (2012).
00305834
2012
j
62G10 62G09 65C60
stationarity; size distortion
Summary: It is widely known that size distortions of the so-called KPSS stationarity test, introduced by \textit{D. Kwiatkowski, P.C.B. Phillips, P. Schmidt} and \textit{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 \textit{P. B??hlmann} [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.
Zbl 0871.62100; Zbl 0934.62039