The KPSS test with outliers

Jesüs Otero; Jeremy Smith

doi:10.1007/s10614-005-9008-0

The KPSS test with outliers

Jesüs Otero, Jeremy Smith

Faculty of Economics

Research output: Contribution to journal › Article › peer-review

7 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 language	English (US)
Pages (from-to)	59-67
Number of pages	9
Journal	Computational Economics
Volume	26
Issue number	3-4
DOIs	https://doi.org/10.1007/s10614-005-9008-0
State	Published - Nov 2005

All Science Journal Classification (ASJC) codes

Economics, Econometrics and Finance (miscellaneous)
Computer Science Applications

Access to Document

10.1007/s10614-005-9008-0

Cite this

@article{3eae98dd97004f10b79dc6613176ed18,

title = "The KPSS test with outliers",

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.",

author = "Jes{\"u}s Otero and Jeremy Smith",

note = "Funding Information: This paper was started while the first author was a visiting research fellow in the Department of Economics at the University of Warwick. The first author would like to thank the Universidad del Rosario for its financial assistance. The authors would like to thank two anonymous referees of this journal for helpful comments.",

year = "2005",

month = nov,

doi = "10.1007/s10614-005-9008-0",

language = "English (US)",

volume = "26",

pages = "59--67",

journal = "Computational Economics",

issn = "0927-7099",

publisher = "Springer Netherlands",

number = "3-4",

}

TY - JOUR

T1 - The KPSS test with outliers

AU - Otero, Jesüs

AU - Smith, Jeremy

N1 - Funding Information: This paper was started while the first author was a visiting research fellow in the Department of Economics at the University of Warwick. The first author would like to thank the Universidad del Rosario for its financial assistance. The authors would like to thank two anonymous referees of this journal for helpful comments.

PY - 2005/11

Y1 - 2005/11

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=33645758517&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=33645758517&partnerID=8YFLogxK

U2 - 10.1007/s10614-005-9008-0

DO - 10.1007/s10614-005-9008-0

M3 - Article

AN - SCOPUS:33645758517

SN - 0927-7099

VL - 26

SP - 59

EP - 67

JO - Computational Economics

JF - Computational Economics

IS - 3-4

ER -

The KPSS test with outliers

Abstract

All Science Journal Classification (ASJC) codes

Access to Document

Other files and links

Fingerprint

Cite this