The KPSS test with outliers
Otero, Jesus and Smith, Jeremy (Jeremy P.) (2003) The KPSS test with outliers. Working Paper. Coventry: University of Warwick, Department of Economics. Warwick economic research papers (No.690).
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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.
|Item Type:||Working or Discussion Paper (Working Paper)|
|Subjects:||Q Science > QA Mathematics|
|Divisions:||Faculty of Social Sciences > Economics|
|Library of Congress Subject Headings (LCSH):||Monte Carlo method, Game theory, Outliers (Statistics), Sampling (Statistics), Power (Social sciences)|
|Series Name:||Warwick economic research papers|
|Publisher:||University of Warwick, Department of Economics|
|Place of Publication:||Coventry|
|Official Date:||November 2003|
|Number of Pages:||10|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
|Funder:||Universidad del Rosario (UdR)|
Chen, C. and Liu, L.-M., 1993, Joint estimation of model parameters and outlier effects in time series, Journal of the American Statistical Association, 88, 284-297.
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