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The KPSS test with outliers

By Jesus Otero and Jeremy Smith

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

Topics: QA
Publisher: University of Warwick, Department of Economics
Year: 2003
OAI identifier: oai:wrap.warwick.ac.uk:1497

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Citations

  1. (1993). Joint estimation of model parameters and outlier effects in time series, doi
  2. Power of the KPSS tests to a unit root with outliers,
  3. (2002). Testing stationarity against unit roots and structural changes, doi
  4. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root, doi

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