Download This PaperModified KPSS Tests for Near Integration
7 Pages Posted: 10 Oct 2006
Date Written: January 30, 2006
Abstract
This note suggests a simple modification to the Kwiatkowski et al. (1994, KPSS) test so that it is applicable to testing the null hypothesis of near integration against a unit root alternative. The modified KPSS test is shown not to suffer from the asymptotic size distortion problems of the original KPSS test that are described by Müller (2005). The test also has good asymptotic and finite sample properties relative to the point optimal tests of Müller (2005) and Elliott and Müller (2005).
Keywords: Unit root test, stationarity test, near integration
JEL Classification: C22
Suggested Citation: Suggested Citation
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