Otero, Jesus and Smith, Jeremy (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:	10
Institution:	University of Warwick
Status:	Not Peer Reviewed
Access rights to Published version:	Open Access
Funder:	Universidad del Rosario (UdR)

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