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This article proposes a new stationarity test based on the KPSS test with less size distortion. We extend the boundary rule proposed by Sul et al. (2005) to the autoregressive spectral density estimator and parametrically estimate the long‐run variance. We also derive the finite sample bias of the numerator of the test statistic up to the 1/T order and propose a correction to the bias term in the...
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