Template-Type: ReDIF-Paper 1.0
Author-Name: Anton Skrobotov
Author-Name-First: Anton 
Author-Name-Last:  Skrobotov
Author-Workplace-Name: Gaidar Institute for Economic Policy
Title:   Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion
Abstract: In this paper we extend the stationarity test proposed by Kurozumi and Tanaka (2010) to reduce size distortion with one structural break in data generating process. We  nd the bias
up to the order of 1=T for four types of models containing structural breaks. Simulations on fininite samples show a decrease of size distortions relative to other tests, thus receiving higher power.
Length:  26 pages
Creation-Date: 2012
Revision-Date:   2013
Classification-JEL: C12, C22
Keywords:   Stationarity tests, KPSS test, bias correction, size distortion, structural break.
File-URL: https://www.iep.ru/files/RePEc/gai/wpaper/0043Skrobotov.pdf
File-Format: Application/pdf
File-Function: Revised version, 2013
Handle: RePEc:gai:wpaper:0043