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 - in Russian
Abstract: In this paper we extend the stationarity test proposed by Kurozumi and Tanaka (2010) for
reducing size distortion with one structural break. We find the bias up to the order of 1/T for
four types of models containing structural breaks. The simulations on finite samples show a
reduction of size distortions in comparison with other tests, thus receiving higher power.
Length:  24 pages
Creation-Date: 2012
Revision-Date:   2012
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/0044Skrobotov.pdf
File-Format: Application/pdf
File-Function: Revised version, 2012
Handle: RePEc:gai:wpaper:0044
Language:ru