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The KPSS Test with Outliers

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  • Jesús Otero
  • Jeremy Smith

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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Suggested Citation

  • Jesús Otero & Jeremy Smith, 2007. "The KPSS Test with Outliers," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 423-423, May.
    • Handle: RePEc:kap:compec:v:29:y:2007:i:3:p:423-423
    DOI: 10.1007/s10614-006-9056-0
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    Cited by:

    1. Michieka, Nyakundi M. & Gearhart, Richard, 2015. "Oil price fluctuations and employment in Kern County: A Vector Error Correction approach," Energy Policy, Elsevier, vol. 87(C), pages 584-590.
    2. Michieka, Nyakundi M. & Fletcher, Jerald & Burnett, Wesley, 2013. "An empirical analysis of the role of China’s exports on CO2 emissions," Applied Energy, Elsevier, vol. 104(C), pages 258-267.
    3. Gabor Szigel & Boldizsar Istvan Gyurus, 2023. "Are Default Rate Time Series Stationary? A Practical Approach for Banking Experts," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 22(4), pages 107-135.
    4. Omid Bozorg-Haddad & Mohammad Solgi & Hugo A. Loáiciga, 2017. "Investigation of Climatic Variability with Hybrid Statistical Analysis," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 31(1), pages 341-353, January.
    5. P. S. Sephton, 2010. "Unit roots and purchasing power parity: another kick at the can," Applied Economics, Taylor & Francis Journals, vol. 42(27), pages 3439-3453.
    6. repec:mbr:jmonec:v:7:y:2012:i:1:p:119-137 is not listed on IDEAS
    7. Zachmann, Georg, 2008. "Electricity wholesale market prices in Europe: Convergence?," Energy Economics, Elsevier, vol. 30(4), pages 1659-1671, July.

    More about this item

    JEL classification:

    • 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; Diffusion Processes

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