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There is a critical dimension d_c for the Kardar-Parisi-Zhang (KPZ) equation? Simulations of discrete growth models belonging to the KPZ universality class (e.g. Restricted Solid-on-Solid and Ballistic Deposition models) does not show any sign of their existence. At the same time, mostly of renormalization group techniques applied find two main results: The first one, a value d_c close to 4 and the second one, in the same way that for discrete models, a nonexistent critical dimension. We propose to study the critical dimension through the discrete integration of the KPZ equation [J. Stat. Mech. (2018) 033208]. As all equations that have a nonlinear term like ½λ(∇ h)², the integration of the KPZ equation diverges. This divergence happen when the difference between two neighboring points of the interface surpass a critical value, which depends of the nonlinear intensity λ. We introduced and characterized a integration method which consists of directly limiting the value taken by the KPZ nonlinearity, in a way that only affects the divergences while keeping all the properties of the continuous KPZ equation. We use it to show that, at least from the discrete integration of the KPZ equation, d=4 is not the critical dimension.