The KPSS Test with Outliers

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The KPSS Test with Outliers

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Jesús Otero
Jeremy Smith ()

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Article provided by Springer in its journal Computational Economics.

Volume (Year): 29 (2007)
Issue (Month): 3 (May)
Pages: 423-423
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Handle: RePEc:kap:compec:v:29:y:2007:i:3:p:423-423

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Other versions of this item:

Article
- Jesús Otero & Jeremy Smith, 2005. "The KPSS Test with Outliers," Computational Economics, Springer, vol. 26(3), pages 59-67, November. [Downloadable!] (restricted)
Paper
- Otero, Jesus & Smith, Jeremy, 2003. "The KPSS Test with Outliers," The Warwick Economics Research Paper Series (TWERPS) 690, University of Warwick, Department of Economics. [Downloadable!]

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.:

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:
- Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November. [Downloadable!] (restricted)
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:
- Dijk, D.J.C. van & Franses, Ph.H.B.F. & Lucas, A., 1996. "Testing for Smooth Transition Nonlinearity in the Presence of Outliers," Econometric Institute Report EI 9622-/A Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
- Dijk, Dick van & Franses, Philip Hans & Lucas, Andr•, 1996. "Testing for smooth transition nonlinearity in the presence of outliers," Econometric Institute Report 56, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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)
Other versions:
- Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May. [Downloadable!] (restricted)
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.
Other versions:
- Franses, P.H. & Haldrup, N., 1992. "The Effects of Additive Outliers on Tests for Unit Roots and Cointegration," Economics Working Papers 1993-12, School of Economics and Management, University of Aarhus.
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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