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
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
Journal title :
Economics Letters
