The fragility of the KPSS stationarity test
نویسندگان
چکیده
منابع مشابه
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...
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15 صفحه اولThe 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
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ژورنال
عنوان ژورنال: Statistical Methods and Applications
سال: 2010
ISSN: 1618-2510,1613-981X
DOI: 10.1007/s10260-010-0130-3