An Extension of the Seasonal KPSS Test

An Extension of the Seasonal KPSS Test

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. JEL classification: C15, C22

Finite-Sample Stability of the KPSS Test

In the current paper, the finite-sample stability of various implementations of the KPSS test is studied. The implementations considered differ in how the so-called long-run variance is estimated under the null hypothesis. More specifically, the effects that the choice of kernel, the value of the bandwidth parameter and the application of a prewhitening filter have on the KPSS test are investig...

The fragility of the KPSS stationarity test

Stationarity tests exhibit extreme size distortions if the observable process is stationary yet highly persistent. In this paper we provide a theoretical explanation for the size distortion of the KPSS test for DGPs with a broad range of first order autocorrelation coefficient. Considering a near-integrated, nearly stationary process we show that the asymptotic distribution of the test contains...

The Seasonal KPSS Test: Examining Possible Applications with Monthly Data and Additional Deterministic Terms

The literature has been notably less definitive in distinguishing between finite sample studies of seasonal stationarity than in seasonal unit root tests. Although the use of seasonal stationarity and unit root tests is advised to determine correctly the most appropriate form of the trend in a seasonal time series, such a use is rarely noted in the relevant studies on this topic. Recently, the ...