The KPSS Test with Outliers

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The KPSS Test with Outliers

Author Info

Otero, Jesus (Facultad de Economía, Universidad del Rosario)
Smith, Jeremy (Department of Economics, University of Warwick)

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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.

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Publisher Info
Paper provided by University of Warwick, Department of Economics in its series The Warwick Economics Research Paper Series (TWERPS) with number 690.

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Length: 10 pages
Date of creation: 2003
Date of revision:
Handle: RePEc:wrk:warwec:690

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Related research
Keywords: KPSS test ; Monte Carlo ; outliers ; power ; size;

Other versions of this item:

Article
- Jesús Otero & Jeremy Smith, 2005. "The KPSS Test with Outliers," Computational Economics, Springer, vol. 26(3), pages 59-67, November. [Downloadable!] (restricted)
- Jesús Otero & Jeremy Smith, 2007. "The KPSS Test with Outliers," Computational Economics, Springer, vol. 29(3), pages 423-423, May. [Downloadable!] (restricted)

Find related papers by JEL classification:
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

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Other versions:
- Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November. [Downloadable!] (restricted)
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Other versions:
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Other versions:
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