The effects of additive outliers on stationarity tests: a monte carlo study

Olivier Darné

Economics Bulletin, 2004, vol. 3, issue 16, pages 1-8

Abstract: Monte Carlo simulations are used to study the size and power properties of two stationarity tests developed by Kwiatkowski et al. (1992) [KPSS] and Leybourne and McCabe (1994) [LMC] when the data contain additive outliers. We show that the KPSS tests are very robust to additive outliers whereas the LMC test exhibits size distorsions and loss of power.

Keywords: Additive outlier; Monte Carlo simulation.; Stationarity test (search for similar items in EconPapers)
JEL-codes: C1 C2 (search for similar items in EconPapers)
Date: 2004-05-13
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