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Otero, Jesus and Smith, Jeremy (Jeremy P.) (2003) The KPSS test with outliers. Working Paper. University of Warwick, Department of Economics, Coventry.
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Official URL: http://www2.warwick.ac.uk/fac/soc/economics/resear...
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.
| 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 |
| Date: | November 2003 |
| Number: | No.690 |
| Number of Pages: | 10 |
| Status: | Not Peer Reviewed |
| Access rights to Published version: | Open Access |
| Funder: | Universidad del Rosario (UdR) |
| References: | 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. Chen, M.-Y., 2002, Testing stationarity against unit roots and structural changes, Applied Economics Letters, 9, 459-464. Franses, P. H. and Haldrup, N., 1994, The effects of additive outliers on tests for unit roots and cointegration, Journal of Business and Economic Statistics, 12, 471-478. Kwiatkowski, D., Phillips, P. C. B., Schmidt, P. and Shin, Y., 1992, Testing the null hypothesis of stationarity against the alternative of a unit root, Journal of Econometrics, 54, 159-178. Newey, W. K. and West, K. D., 1987, A simple, positive semi-definite, heteroskedastic and autocorrelation consistent covariance matrix, Econometrica, 55, 703-708. Perron, P., 1989, The great crash, the oil price shock, and the unit root hypothesis, Econometrica 57, 1361-1401. |
| URI: | http://wrap.warwick.ac.uk/id/eprint/1497 |
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