The KPSS Test with Outliers

Jesus Otero and Jeremy Smith

The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of 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.

Keywords: KPSS test; Monte Carlo; outliers; power; size (search for similar items in EconPapers)
JEL-codes: C15 C22 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2003
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Citations: View citations in EconPapers (1)

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https://warwick.ac.uk/fac/soc/economics/research/workingpapers/2008/twerp690.pdf

Related works:
Journal Article: The KPSS Test with Outliers (2007)
Journal Article: The KPSS Test with Outliers (2005)
Working Paper: The KPSS test with outliers (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:wrk:warwec:690

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