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The KPSS test with outliers


Miniatura

Fecha
2005

Directores

ISSN de la revista
Título del volumen
Editor
Springer Netherlands

Citations

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Resumen
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. © Springer Science+Business Media, Inc. 2005.
Palabras clave
Keywords
KPSS test , Monte Carlo , Outliers , Power , Size
Citations
Enlace a la fuente
https://www.scopus.com/inward/record.uri?eid=2-s2.0-33645758517&doi=10.1007%2fs10614-005-9008-0&partnerID=40&md5=802ce7a715d4c8712d0f56e7ba1b6e28
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