Ítem
Solo Metadatos
The KPSS test with outliers
Título de la revista
Autores
Otero, Jesus
Smith J.
Fecha
2005
Directores
ISSN de la revista
Título del volumen
Editor
Springer Netherlands
Citations
Métricas alternativas
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
