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The KPSS test with outliers

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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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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

Official Date:

November 2003

Dates:

Date	Event
November 2003	Published

Number:

No.690

Number of Pages:

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Not Peer Reviewed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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