Modified stationarity tests with improved power in small samples |
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Authors: | J Breitung |
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Institution: | 1. Fachbereich Wirtschaftswissenschaften Abteilung ?konometrie und Statistik, Universit?t Hannover, Wunstorfer Stra?e 14, D-30453, Hannover, FRG
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Abstract: | In a recent paper Kwiatkowski et al. (1992) propose the so-called KPSS statistic for testing the null hypothesis of stationarity
against the alternative of a unit root process. The statistic employs a spectral estimator which can be shown to diverge with
increasing sample size, given the alternative is true. Here, we suggest a modified spectral estimator which is shown to stabilize
for moving average models. It is shown that this test statistic uniformly outperforms the KPSS statistic in an MA(1) model.
Furthermore, a two-step nonparametric correction procedure is suggested, giving a test statistic with similar asymptotic properties
as the original KPSS statistic. However, in small samples this correction performs better especially in detecting large random
walk components.
This paper was written while the author was a post-doctoral fellow at the University of Amsterdam. The author likes to thank
Peter Boswijk, Inge van den Doel, Noud van Giersbergen and Jan F.Kiviet for their help during that time. Moreover, I would
like to thank an anonymous referee for a number of helpful comments. |
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