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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.
JEL: C1 - Econometric and Statistical Methods: General
C2 - Single Equation Models; Single Variables: General
Manuscript Received : Jan 21 2004 Manuscript Accepted : May 13 2004

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