The KPSS Test with Outliers |
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| Authors: | Jesús Otero Jeremy Smith |
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| Affiliation: | (1) Facultad de Economía, Universidad del Rosario, Bogota, Colombia;(2) Department of Economics, University of Warwick, Coventry, UK |
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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.
JEL classification: C15, C22
An erratum to this article can be found at |
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| Keywords: | KPSS test Monte Carlo outliers power size |
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