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The KPSS Test with Outliers

Jesus Otero () and Jeremy Smith

Computational Economics, 2005, vol. 26, issue 3, 59-67

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. Copyright Springer Science+Business Media, Inc. 2005

Keywords: KPSS test; Monte Carlo; outliers; power; size (search for similar items in EconPapers)
Date: 2005
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Related works:
Journal Article: The KPSS Test with Outliers (2007) Downloads
Working Paper: The KPSS test with outliers (2003) Downloads
Working Paper: The KPSS Test with Outliers (2003) Downloads
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