{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,2]],"date-time":"2026-10-02T08:26:39Z","timestamp":1790929599321,"version":"4.1.0"},"reference-count":10,"publisher":"Cambridge University Press (CUP)","issue":"2","license":[{"start":{"date-parts":[[2007,1,30]],"date-time":"2007-01-30T00:00:00Z","timestamp":1170115200000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2007,4]]},"abstract":"<jats:p>This note suggests a simple modification to the Kwiatkowski, Phillips, \nSchmidt, and Shin (1992, <jats:italic>Journal of \nEconometrics<\/jats:italic>, 54, 159\u2013178) test (KPSS test) so that it is \napplicable to testing the null hypothesis of near integration against a \nunit root alternative. The modified KPSS test is shown not to suffer from \nthe asymptotic size distortion problems of the original KPSS test that are \ndescribed by M\u00fcller (2005, <jats:italic>Journal of \nEconometrics<\/jats:italic> 128, 195\u2013213). The test also has good asymptotic \nand finite-sample properties relative to the point optimal tests of \nM\u00fcller (2005) and Elliott and M\u00fcller \n(2006, <jats:italic>Journal of Econometrics<\/jats:italic> 135, \n285\u2013310).<\/jats:p>","DOI":"10.1017\/s0266466607070156","type":"journal-article","created":{"date-parts":[[2007,2,2]],"date-time":"2007-02-02T22:44:39Z","timestamp":1170456279000},"page":"355-363","source":"Crossref","is-referenced-by-count":14,"title":["MODIFIED KPSS TESTS FOR NEAR INTEGRATION"],"prefix":"10.1017","volume":"23","author":[{"given":"David","family":"Harris","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Stephen","family":"Leybourne","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Brendan","family":"McCabe","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2007,1,30]]},"reference":[{"key":"S0266466607070156_ref005","doi-asserted-by":"crossref","unstructured":"Kwiatkowski, D. , P. Phillips , P. Schmidt , & Y. Shin (1992)Testing the null hypothesis of stationarity against the alternativeof a unit root.Journal of Econometrics 54,159\u2013178.","DOI":"10.1016\/0304-4076(92)90104-Y"},{"key":"S0266466607070156_ref009","doi-asserted-by":"crossref","unstructured":"Stock, J.H. & M.W. Watson (1999)Business cycle fluctuations in U.S. macroeconomic timeseries. In J.B. Taylor & M. Woodford (eds.),Handbook of Macroeconomics, vol. 1, pp.3\u201364.Elsevier.","DOI":"10.1016\/S1574-0048(99)01004-6"},{"key":"S0266466607070156_ref010","doi-asserted-by":"crossref","unstructured":"Sul, D. , P.C.B. Phillips , & C. Choi (2005)Prewhitening bias in HAC estimation.Oxford Bulletin of Economics and Statistics 67,517\u2013546.","DOI":"10.1111\/j.1468-0084.2005.00130.x"},{"key":"S0266466607070156_ref001","doi-asserted-by":"crossref","unstructured":"Caner, M. & L. Kilian (2001)Size distortions of tests of the null hypothesis of stationarity:Evidence and implications for the PPP debate.Journal of International Money and Finance 20,639\u2013657.","DOI":"10.1016\/S0261-5606(01)00011-0"},{"key":"S0266466607070156_ref004","doi-asserted-by":"crossref","unstructured":"Elliott, G. & J.H. Stock (2001)Confidence intervals for autoregressive coefficients nearone.Journal of Econometrics 103,155\u2013181.","DOI":"10.1016\/S0304-4076(01)00042-2"},{"key":"S0266466607070156_ref002","doi-asserted-by":"crossref","unstructured":"Elliott, G. (1999)Efficient tests for a unit root when the initial observation isdrawn from its unconditional distribution.International Economic Review 40,767\u2013783.","DOI":"10.1111\/1468-2354.00039"},{"key":"S0266466607070156_ref006","doi-asserted-by":"crossref","unstructured":"M\u00fcller, U. (2005)Size and power of tests for stationarity in highly autocorrelatedtime series.Journal of Econometrics 128,195\u2013213.","DOI":"10.1016\/j.jeconom.2004.08.012"},{"key":"S0266466607070156_ref007","doi-asserted-by":"crossref","unstructured":"M\u00fcller, U. & G. Elliott (2003)Tests for unit roots and the initial condition.Econometrica 71,1269\u20131286.","DOI":"10.1111\/1468-0262.00447"},{"key":"S0266466607070156_ref003","doi-asserted-by":"crossref","unstructured":"Elliott, G. & U. M\u00fcller (2006)Minimizing the impact of the initial condition on testing for unitroots.Journal of Econometrics 135,285\u2013310.","DOI":"10.1016\/j.jeconom.2005.07.024"},{"key":"S0266466607070156_ref008","doi-asserted-by":"crossref","unstructured":"Newey, W. & K. West (1994)Automatic lag selection in covariance matrix estimation.Review of Economic Studies 61,631\u2013653.","DOI":"10.2307\/2297912"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466607070156","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,6,21]],"date-time":"2025-06-21T08:07:17Z","timestamp":1750493237000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466607070156\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2007,1,30]]},"references-count":10,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2007,12]]}},"alternative-id":["S0266466607070156"],"URL":"https:\/\/doi.org\/10.1017\/s0266466607070156","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2007,1,30]]}}}