Title of article
Breaking date misspecification error for the level shift KPSS test
Author/Authors
Josep Llu?s Carrion-i-Silvestre، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2003
Pages
7
From page
365
To page
371
Abstract
We show that the KPSS that allows for a level shift diverges when the breaking date is erroneously positioned. The Monte Carlo simulations indicate that this situation is also found in finite samples.
Keywords
Structural break , KPSS test , Misspecification error , Stationarity test
Journal title
Economics Letters
Serial Year
2003
Journal title
Economics Letters
Record number
435312
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