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
收藏
页码：697 / 699
页数：3
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