On the finite sample size and power of the generalized KPSS test in the presence of level breaks

References

• Busetti , F. and Harvey , A. 2001 . Testing for the presence of a random walk in series with structural breaks . Journal of Time Series Analysis , 22 : 127 – 50 .
   Web of Science ®Google Scholar
• Busetti , F. and Harvey , A. 2003 . Further comments on stationarity tests in series with structural breaks at unknown points . Journal of Time Series Analysis , 24 : 137 – 40 .
   Web of Science ®Google Scholar
• Caner , M. and Kilian , L. 2001 . Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate . Journal of International Money and Finance , 20 : 639 – 57 .
   Web of Science ®Google Scholar
• Carrion-i-Silvestre , J. L. 2003 . Breaking date misspecification error for the level shift KPSS test . Economics Letters , 81 : 365 – 71 .
   Web of Science ®Google Scholar
• Darne , O. 2004 . The effects of additive outliers on stationarity tests: a Monte carlo study . Economics Bulletin , 3 : 1 – 8 .
   Google Scholar
• Harvey , D. I. and Mills , T. C. 2003 . A note on busetti-harvey tests for stationarity in series with structural breaks . Journal of Time Series Analysis , 24 : 159 – 64 .
   Google Scholar
• Harvey , D. I. and Mills , T. C. 2004 . Tests for stationarity in series with endogeously determined structural change . Oxford Bulletin of Economics and Statistics , 66 : 863 – 94 .
   Web of Science ®Google Scholar
• Hobijn , B. , Franses , P. and Ooms , M. 2004 . Generalizations of the KPSS-test for stationarity . Statistica Neerlandica , 58 : 483 – 502 .
   Web of Science ®Google Scholar
• Lee , J. 1996 . On the power of stationarity tests using optimal bandwidth estimates . Economics Letters , 51 : 131 – 7 .
   Web of Science ®Google Scholar
• Lee , J. , Huang , C. and Shin , Y. 1997 . On stationarity tests in the presence of structural breaks . Economics Letters , 55 : 165 – 72 .
   Web of Science ®Google Scholar
• Lee , J. and Strazicich , M. 2001 . Testing the null of stationarity in the presence of a structural break . Applied Economics Letters , 8 : 377 – 82 .
   Web of Science ®Google Scholar
• Newey , W. K. and West , K. D. 1994 . Automatic lag selection in covariance estimation . The Review of Economic Studies , 61 : 631 – 53 .
   Web of Science ®Google Scholar
• Presno , M. J. and Lopez , A. J. 2003 . Response surface estimates of stationarity tests with a structural break . Economics Letters , 78 : 395 – 9 .
   Web of Science ®Google Scholar