The KPSS Test with Outliers
Jesus Otero () and
The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of Economics
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)
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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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