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

Facultad de Economía

Producción científica: Contribución a una revista › Artículo › revisión exhaustiva

7 Citas (Scopus)

Resumen

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.

Idioma original	Inglés estadounidense
Páginas (desde-hasta)	59-67
Número de páginas	9
Publicación	Computational Economics
Volumen	26
N.º	3-4
DOI	https://doi.org/10.1007/s10614-005-9008-0
Estado	Publicada - nov. 2005

Áreas temáticas de ASJC Scopus

Economía, econometría y finanzas (miscelánea)
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10.1007/s10614-005-9008-0

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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.",

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The KPSS test with outliers

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