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Computational Economics

, Volume 26, Issue 3–4, pp 59–67 | Cite as

The KPSS Test with Outliers

  • Jesús Otero
  • Jeremy Smith
Article

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.

Keywords

KPSS test Monte Carlo outliers power size 

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Copyright information

© Springer Science+Business Media, Inc. 2006

Authors and Affiliations

  1. 1.Facultad de EconomíaUniversidad del RosarioBogotaColombia
  2. 2.Department of EconomicsUniversity of WarwickCoventryUK

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