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The KPSS Test with Outliers

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Author Info
Jesús Otero
Jeremy Smith ()

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Abstract

We investigate the effects of outliers on the KPSS tests. We find that for nonstationary series outliers induce spurious stationarity by lowering the power of these tests. The empirical size of these tests is also found to be sensitive to the location of the outlier. Copyright Springer Science+Business Media, Inc. 2005

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File URL: http://hdl.handle.net/10.1007/s10614-005-9008-0
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Publisher Info
Article provided by Springer in its journal Computational Economics.

Volume (Year): 26 (2005)
Issue (Month): 3 (November)
Pages: 59-67
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:kap:compec:v:26:y:2005:i:3:p:59-67

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Web page: http://www.springerlink.com/link.asp?id=100248

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Related research
Keywords: KPSS test; Monte Carlo; outliers; power; size;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
    Other versions:
  2. Van Dijk, Dick & Franses, Philip Hans & Lucas, Andre, 1999. "Testing for Smooth Transition Nonlinearity in the Presence of Outliers," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(2), pages 217-35, April.
    Other versions:
  3. Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  4. Franses, Philip Hans & Haldrup, Niels, 1994. "The Effects of Additive Outliers on Tests for Unit Roots and Cointegration," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 471-78, October.
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  5. Chen, Mei-Yuan, 2002. "Testing Stationarity against Unit Roots and Structural Changes," Applied Economics Letters, Taylor and Francis Journals, vol. 9(7), pages 459-64, June. [Downloadable!] (restricted)
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