Finite Sample Critical Values of the Generalized KPSS Stationarity Test

Testing for stationarity and unit roots has become standard practice in time series analysis and while many tests have known asymptotic properties, their small sample performance is sometimes less-well understood. Researchers rely on response surface regressions to provide small sample critical values for use in applied work. In this paper an updated series of Monte Carlo experiments provides response surface estimates of the critical 1, 5, and 10 % values of the Kwiatkowski et al. (J Econ 54: 91–115, 1992) test of stationarity and its generalization by Hobijn et al. (Stat Neerlandica 58(4): 483–502, 2004).