A note on the size of the KPSS unit root test

C-Tier

Journal: Economics Letters

Year: 2012

Volume: 117

Issue: 3

Pages: 697-699

Authors (3)

Su, Jen-Je (not in RePEc) Amsler, Christine (Michigan State University) Schmidt, Peter (not in RePEc)

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

View Full Article View on IDEAS/RePEc

Abstract

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.

A note on the size of the KPSS unit root test

Authors (3)

Abstract

Technical Details