The effects of additive outliers on stationarity tests: a monte carlo study
Monte Carlo simulations are used to study the size and power properties of two stationarity tests developed by Kwiatkowski et al. (1992) [KPSS] and Leybourne and McCabe (1994) [LMC] when the data contain additive outliers. We show that the KPSS tests are very robust to additive outliers whereas the LMC test exhibits size distorsions and loss of power.
Volume (Year): 3 (2004)
Issue (Month): 16 ()
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Cowles Foundation Discussion Papers
979, Cowles Foundation for Research in Economics, Yale University.
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