A note on the size of the KPSS unit root test

被引：1

作者：

Su, Jen-Je ^{[1
]}

Amsler, Christine ^{[2
]}

Schmidt, Peter ^{[2
]}

机构：

[1] Griffith Univ, Nathan, Qld 4111, Australia

[2] Michigan State Univ, E Lansing, MI 48824 USA

来源：

ECONOMICS LETTERS | 2012年 / 117卷 / 03期

关键词：

KPSS test; Unit root; Fixed-b asymptotics;

D O I：

10.1016/j.econlet.2012.08.019

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：697 / 699

页数：3

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