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The KPSS Test with outliers
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Otero, Jesús and Smith, Jeremy (2007) The KPSS Test with outliers. Computational Economics, Volume 26 (Number 3-4). pp. 59-67. doi:10.1007/s10614-005-9008-0 ISSN 0927-7099.
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Official URL: http://dx.doi.org/10.1007/s10614-005-9008-0
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: | Journal Article | ||||
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Divisions: | Faculty of Social Sciences > Economics | ||||
Journal or Publication Title: | Computational Economics | ||||
Publisher: | Springer New York LLC | ||||
ISSN: | 0927-7099 | ||||
Official Date: | 2007 | ||||
Dates: |
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Volume: | Volume 26 | ||||
Number: | Number 3-4 | ||||
Page Range: | pp. 59-67 | ||||
DOI: | 10.1007/s10614-005-9008-0 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access | ||||
Description: | An erratum to this article can be found at Computational Economics Volume 29, Issue 3-4 , p 423. |
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