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Economics Letters 116 (2012) 483–486 Contents lists available at SciVerse ScienceDirect Economics Letters journal homepage: /locate/ecolet Size improvement of the KPSS test using sieve bootstraps Jin Lee ∗, Young Im Lee Department of Economics, Ewha Womans University, Seoul, Republic of Korea a r t i c l e i n f o a b s t r a c t Article history: It is widely known that size distortions of the so-called KPSS stationarity test, introduced in Kwiatkowski Received 13 January 2011 et al. (1992), become severe with persistent data. We propose the sieve bootstrap introduced by Bühlmann Received in revised form (1998) as an appropriate bootstrap for dependent processes, to obtain notable size improvement of the 10 April 2012 KPSS test. Our simulation studies demonstrate that sieve bootstraps can be effective in refining the finite- Accepted 20 April 2012 sample size performance. Available online 27 April 2012 © 2012 Elsevier B.V. All rights reserved. JEL classification: C12 C14 Keywords: Stationarity KPSS test Size distortion Sieve bootstraps 1. Introduction rules proposed by Sul et al. (2005). The boundary rules simply keep the sum of the autoregressive coefficient estimates from getting A testing