MODIFIED KPSS TESTS FOR NEAR INTEGRATION
提出对KPSS检验的简单修正，使其能检验近单位根原假设，避免原检验的渐近尺寸扭曲问题，并具有良好的渐近和有限样本性质。
This note suggests a simple modification to the Kwiatkowski, Phillips, Schmidt, and Shin (1992, Journal of Econometrics , 54, 159–178) test (KPSS test) so that it is applicable to testing the null hypothesis of near integration against a unit root alternative. The modified KPSS test is shown not to suffer from the asymptotic size distortion problems of the original KPSS test that are described by Müller (2005, Journal of Econometrics 128, 195–213). The test also has good asymptotic and finite-sample properties relative to the point optimal tests of Müller (2005) and Elliott and Müller (2006, Journal of Econometrics 135, 285–310).