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학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록· 키워드
오류제보하기
This note proposes a new testing procedure that can alleviate the size prob-Lem associated with semiparametric tests of stationarity. The note is focused on The test by Kwiatkowski, Phillips, Schmidt and Shin (1992) considering its pop-ularity in the literature. The testing procedure of this note employs sample-split and the Bonferroni test. The sample is split into two parts, one corresponding to the odd index and the other to the even index, and the KPSS test is applied to each subsample. The two KPSS tests are then combined using the Bonfer-roni principle. Simulation results demonstrate that this procedure significantly reduces the size distortion of the KPSS test.
목차
등록된 정보가 없습니다.
참고문헌 (11)
참고문헌 신청
Bierens, H. / 1993 / Testing stationarity and trend stationarity against the unit root hypothesis / Econometric Reviews 12 : 1 ~ 32
Caner, M. / 2001 / Size distortions of the null hypothesis of stationarity: evidence and implications for the PPP debate / Journal of International Money and Finance 20 : 639
Choi, I. / 1994 / Residual based tests for the null of stationarity with applications to U.S. macroeconomic time series / Econometric Theory 19 : 720 ~ 746
Dufour, J.-M. / 1998 / Union-intersection and sample-split methods in econometrics with applications to SURE and MA models in Handbook of Applied Economic Statistics / Marcel Dekker : 46
Kwiatkowski, D. / 1992 / Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic time series have a unit root? / Jou
Caner, M. / 2001 / Size distortions of the null hypothesis of stationarity: evidence and implications for the PPP debate / Journal of International Money and Finance 20 : 639
Choi, I. / 1994 / Residual based tests for the null of stationarity with applications to U.S. macroeconomic time series / Econometric Theory 19 : 720 ~ 746
Dufour, J.-M. / 1998 / Union-intersection and sample-split methods in econometrics with applications to SURE and MA models in Handbook of Applied Economic Statistics / Marcel Dekker : 46
Kwiatkowski, D. / 1992 / Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic time series have a unit root? / Jou
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