All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC
ralph lauren polo

 
Olivier Darné
 
''The effects of additive outliers on stationarity tests: a monte carlo study''
( 2004, Vol. 3 No.16 )
 
 
Monte Carlo simulations are used to study the size and power properties of two stationarity tests developed by Kwiatkowski et al. (1992) [KPSS] and Leybourne and McCabe (1994) [LMC] when the data contain additive outliers. We show that the KPSS tests are very robust to additive outliers whereas the LMC test exhibits size distorsions and loss of power.
 
 
Keywords:
JEL: C1 - Econometric and Statistical Methods: General
C2 - Single Equation Models; Single Variables: General
 
Manuscript Received : Jan 21 2004 Manuscript Accepted : May 13 2004

  This abstract has been downloaded 1180 times                The Full PDF of this paper has been downloaded 104261 times