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The KPSS test with outliers

By Jesus Otero and Jeremy Smith


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:

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