Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion
In this paper we extend the stationarity test proposed by Kurozumi and Tanaka (2010) to reduce size distortion with one structural break in data generating process. We nd the bias up to the order of 1/T for four types of models containing structural breaks. Simulations on fininite samples show a decrease of size distortions relative to other tests, thus receiving higher power.
stationarity tests; KPSS test; bias correction; size distortion; structural break