Size improvement of the KPSS test using sieve bootstraps

Jin Lee, Young Im Lee

Research output: Contribution to journalArticlepeer-review

1 Scopus citations


It is widely known that size distortions of the so-called KPSS stationarity test, introduced in Kwiatkowski etal. (1992), become severe with persistent data. We propose the sieve bootstrap introduced by Bühlmann (1998) as an appropriate bootstrap for dependent processes, to obtain notable size improvement of the KPSS test. Our simulation studies demonstrate that sieve bootstraps can be effective in refining the finite-sample size performance.

Original languageEnglish
Pages (from-to)483-486
Number of pages4
JournalEconomics Letters
Issue number3
StatePublished - Sep 2012


  • KPSS test
  • Sieve bootstraps
  • Size distortion
  • Stationarity


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