Reducing the size distortion of the KPSS test
Version of Record online: 8 JUL 2010
© 2010 Blackwell Publishing Ltd
Journal of Time Series Analysis
Volume 31, Issue 6, pages 415–426, November 2010
How to Cite
Kurozumi, E. and Tanaka, S. (2010), Reducing the size distortion of the KPSS test. Journal of Time Series Analysis, 31: 415–426. doi: 10.1111/j.1467-9892.2010.00674.x
- Issue online: 8 JUL 2010
- Version of Record online: 8 JUL 2010
- First version received March 2010 Published online in Wiley Online Library: 9 July 2010
Figures S1–S6:Rejection Frequencies of the Bias-Corrected KPSS, Modified KPSS and SPC statistics.
Figures S1–S6 draw rejection frequencies of the bias corrected KPSS test with the lag length selected by BIC (denoted by `BC'), the modified KPSS test with the true lag length (denoted by `Mod'), and the SPC test with AR(1) prewhitening (denoted by `SPC'). These figures correspond to the simulation study in Section 4.
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|JTSA_674_sm_FigsS1-S6.pdf||108K||Supporting info item|
|JTSA_674_sm_suppmat.doc||23K||Supporting info item|
Please note: Wiley Blackwell is not responsible for the content or functionality of any supporting information supplied by the authors. Any queries (other than missing content) should be directed to the corresponding author for the article.