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.KPSS test ; Monte Carlo ; outliers ; power ; size

Otero, Jesus

Smith, Jeremy

English

Research Papers in Economics

Joint estimation of model parameters and outlier effects in time series,

Power of the KPSS tests to a unit root with outliers,

Testing stationarity against unit roots and structural changes,

Testing the null hypothesis of stationarity against the alternative of a unit root,

The KPSS Test with Outliers

http://www2.warwick.ac.uk/fac/soc/economics/research/workingpapers/2008/twerp690.pdf

The KPSS Test with Outliers

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Research Papers in Economics