The KPSS test with outliers
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 Medi...
- Autores:
- Tipo de recurso:
- Fecha de publicación:
- 2005
- Institución:
- Universidad del Rosario
- Repositorio:
- Repositorio EdocUR - U. Rosario
- Idioma:
- eng
- OAI Identifier:
- oai:repository.urosario.edu.co:10336/23764
- Acceso en línea:
- https://doi.org/10.1007/s10614-005-9008-0
https://repository.urosario.edu.co/handle/10336/23764
- Palabra clave:
- KPSS test
Monte Carlo
Outliers
Power
Size
- Rights
- License
- Abierto (Texto Completo)