The KPSS Test with Outliers
AbstractWe 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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Bibliographic InfoArticle provided by Society for Computational Economics in its journal Computational Economics.
Volume (Year): 26 (2005)
Issue (Month): 3 (November)
KPSS test; Monte Carlo; outliers; power; size;
Other versions of this item:
- Otero, Jesus & Smith, Jeremy, 2003. "The KPSS Test with Outliers," The Warwick Economics Research Paper Series (TWERPS) 690, University of Warwick, Department of Economics.
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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