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1、EconomicsLetters116(2012)483–486ContentslistsavailableatSciVerseScienceDirectEconomicsLettersjournalhomepage:www.elsevier.com/locate/ecoletSizeimprovementoftheKPSStestusingsievebootstrapsJinLee∗,YoungImLeeDepartmentofEconomics,EwhaWomansUniversity,Seo
2、ul,RepublicofKoreaarticleinfoabstractArticlehistory:Itiswidelyknownthatsizedistortionsoftheso-calledKPSSstationaritytest,introducedinKwiatkowskiReceived13January2011etal.(1992),becomeseverewithpersistentdata.WeproposethesievebootstrapintroducedbyBühlm
3、annReceivedinrevisedform(1998)asanappropriatebootstrapfordependentprocesses,toobtainnotablesizeimprovementofthe10April2012KPSStest.Oursimulationstudiesdemonstratethatsievebootstrapscanbeeffectiveinrefiningthefinite-Accepted20April2012samplesizeperform
4、ance.Availableonline27April2012©2012ElsevierB.V.Allrightsreserved.JELclassification:C12C14Keywords:StationarityKPSStestSizedistortionSievebootstraps1.IntroductionrulesproposedbySuletal.(2005).Theboundaryrulessimplykeepthesumoftheautoregressivecoeffici
5、entestimatesfromgettingAtestingprocedureproposedbyKwiatkowskietal.(1992,tooclosetounity.Themethodsworkprettywell,butonlyuptoabbreviatedasKPSShereafter),hasbeenoneofthemostheavilytheprespecifiedboundaryvalues,whichmaybedeterminedinanusedtestsforstation
6、arityintimeseriescontexts.TheKPSStestarbitrarymanner.isclearlyappealingasittakesstationarity,eitherinthelevelorInthispaper,weconsideranalternativeapproachinorderinthetrend,asthenullhypothesis,and,moreimportantly,ittoenhancethefinite-sampleperformanceo
7、ftheKPSStestus-allowspossibleserialcorrelationsoftenfoundinmostofeconomicingappropriatebootstrapmethods.Specifically,weemploysievetimeseries.ThisusefulLagrangemultiplier(LM)test,however,bootstrapmethodsoriginallyproposedbyBühlmann(1998).Sieveisbroadly
8、knowntoexhibitseveresizedistortionswhenthebootstrapsaresuitableindealingwithdependenttimeseriespro-nullprocessbecomesstationaryandyethighlypersistent.Thecesses.Asatheoreticalpointofview,sievemethodsonlyrequiredistortionsgetworseasthedegreeofde
