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...

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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)
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spelling 79242814600f8be39ae-4d39-499b-a428-72be7e2a03b82020-05-26T00:05:11Z2020-05-26T00:05:11Z2005We 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.application/pdfhttps://doi.org/10.1007/s10614-005-9008-00927709915729974https://repository.urosario.edu.co/handle/10336/23764engSpringer Netherlands67No. 4392459Computational EconomicsVol. 26Computational Economics, ISSN:09277099, 15729974, Vol.26, No.43924 (2005); pp. 59-67https://www.scopus.com/inward/record.uri?eid=2-s2.0-33645758517&doi=10.1007%2fs10614-005-9008-0&partnerID=40&md5=802ce7a715d4c8712d0f56e7ba1b6e28Abierto (Texto Completo)http://purl.org/coar/access_right/c_abf2instname:Universidad del Rosarioreponame:Repositorio Institucional EdocURKPSS testMonte CarloOutliersPowerSizeThe KPSS test with outliersarticleArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501Otero Cardona, Jesús GilbertoSmith J.10336/23764oai:repository.urosario.edu.co:10336/237642022-05-02 07:37:16.87846https://repository.urosario.edu.coRepositorio institucional EdocURedocur@urosario.edu.co
dc.title.spa.fl_str_mv The KPSS test with outliers
title The KPSS test with outliers
spellingShingle The KPSS test with outliers
KPSS test
Monte Carlo
Outliers
Power
Size
title_short The KPSS test with outliers
title_full The KPSS test with outliers
title_fullStr The KPSS test with outliers
title_full_unstemmed The KPSS test with outliers
title_sort The KPSS test with outliers
dc.subject.keyword.spa.fl_str_mv KPSS test
Monte Carlo
Outliers
Power
Size
topic KPSS test
Monte Carlo
Outliers
Power
Size
description 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.
publishDate 2005
dc.date.created.spa.fl_str_mv 2005
dc.date.accessioned.none.fl_str_mv 2020-05-26T00:05:11Z
dc.date.available.none.fl_str_mv 2020-05-26T00:05:11Z
dc.type.eng.fl_str_mv article
dc.type.coarversion.fl_str_mv http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_6501
dc.type.spa.spa.fl_str_mv Artículo
dc.identifier.doi.none.fl_str_mv https://doi.org/10.1007/s10614-005-9008-0
dc.identifier.issn.none.fl_str_mv 09277099
15729974
dc.identifier.uri.none.fl_str_mv https://repository.urosario.edu.co/handle/10336/23764
url https://doi.org/10.1007/s10614-005-9008-0
https://repository.urosario.edu.co/handle/10336/23764
identifier_str_mv 09277099
15729974
dc.language.iso.spa.fl_str_mv eng
language eng
dc.relation.citationEndPage.none.fl_str_mv 67
dc.relation.citationIssue.none.fl_str_mv No. 43924
dc.relation.citationStartPage.none.fl_str_mv 59
dc.relation.citationTitle.none.fl_str_mv Computational Economics
dc.relation.citationVolume.none.fl_str_mv Vol. 26
dc.relation.ispartof.spa.fl_str_mv Computational Economics, ISSN:09277099, 15729974, Vol.26, No.43924 (2005); pp. 59-67
dc.relation.uri.spa.fl_str_mv https://www.scopus.com/inward/record.uri?eid=2-s2.0-33645758517&doi=10.1007%2fs10614-005-9008-0&partnerID=40&md5=802ce7a715d4c8712d0f56e7ba1b6e28
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.acceso.spa.fl_str_mv Abierto (Texto Completo)
rights_invalid_str_mv Abierto (Texto Completo)
http://purl.org/coar/access_right/c_abf2
dc.format.mimetype.none.fl_str_mv application/pdf
dc.publisher.spa.fl_str_mv Springer Netherlands
institution Universidad del Rosario
dc.source.instname.spa.fl_str_mv instname:Universidad del Rosario
dc.source.reponame.spa.fl_str_mv reponame:Repositorio Institucional EdocUR
repository.name.fl_str_mv Repositorio institucional EdocUR
repository.mail.fl_str_mv edocur@urosario.edu.co
_version_ 1814167431421100032

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