The KPSS Test with Outliers

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General

Publicado en

• Computational Economics

Resumen

• 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.

autores

• Otero, Jesús
• Smith, Jeremy

fecha de publicación

• 2007

Perfiles

Identificador de objeto digital (DOI)

• https://doi.org/10.1007/s10614-006-9056-0

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