Bias correction of KPSS test with structural break for reducing of size distortion

DOI10.1515/jtse-2012-0031zbMath1499.62323OpenAlexW3124113704MaRDI QIDQ1695651

Anton Skrobotov

Publication date: 7 February 2018

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.iep.ru/files/RePEc/gai/wpaper/0043Skrobotov.pdf

zbMATH Keywords

bias correctionstationarity testsstructural breaksize distortionKPSS test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

• Unnamed Item
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