The KPSS test with outliers Academic Article

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Overview

journal

• Computational Economics

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.

authors

• Otero Cardona, Jesús Gilberto
• Jeremy Smith

publication date

• 2005-11-1

edition

• 26

Research

keywords

• KPSS Test
• Outliers
• Stationarity

Identity

International Standard Serial Number (ISSN)

• 0927-7099

Digital Object Identifier (DOI)

• https://doi.org/10.1007/s10614-005-9008-0

Additional Document Info

number of pages

• 9

start page

• 59

end page

• 67