Construction of Stationarity Tests with Less Size Distortions

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概要

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• We propose a (trend) stationarity test with a good finite sample size even when a process is (trend) stationary with strong persistence; this is useful for distinguishing between a (trend) stationary process with strong persistence and a unit root process. It could be considered as a modified version of Leybourne and McCabe's test (1994, LMC), but with adi fferent correction method for serial correlation. A Monte Carlo simulation reveals that in terms of empirical size, our test is closer to the nominal one than the original LMC test and is more powerful than the LMC test with size-adjusted critical values.

著者

• Kurozumi Eiji

  Graduate School of Economics, Hitotsubashi University

• 黒住 英司

  Graduate School Of Economics Hitotsubashi University

• Kurozumi Eiji

  Department Of Economics Hitotsubashi University

• Kurozumi Eiji

  Graduate School Of Economics Hitotsubashi University

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