The KPSS test with outliers

Jesüs Otero, Jeremy Smith

Research output: Contribution to journalArticlepeer-review

6 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)59-67
Number of pages9
JournalComputational Economics
Volume26
Issue number3-4
DOIs
StatePublished - Nov 2005

All Science Journal Classification (ASJC) codes

  • Economics, Econometrics and Finance (miscellaneous)
  • Computer Science Applications

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