کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5060255 1371799 2012 4 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Size improvement of the KPSS test using sieve bootstraps
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Size improvement of the KPSS test using sieve bootstraps
چکیده انگلیسی

It is widely known that size distortions of the so-called KPSS stationarity test, introduced in Kwiatkowski et al. (1992), become severe with persistent data. We propose the sieve bootstrap introduced by Bühlmann (1998) as an appropriate bootstrap for dependent processes, to obtain notable size improvement of the KPSS test. Our simulation studies demonstrate that sieve bootstraps can be effective in refining the finite-sample size performance.

► Sieve bootstraps are employed to improve the size performance of the KPSS test. ► Simulation studies confirm that sieve bootstraps can be effective. ► Application to the Nelson-Plosser US macroeconomic series is presented.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economics Letters - Volume 116, Issue 3, September 2012, Pages 483-486
نویسندگان
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