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
September 2, 2009This paper proposes a new stationarity test based on the KPSS test with less size d...
In this paper, we show that the widely used stationarity tests such as the KPSS test have power clos...
This paper proposes a test of the null hypothesis of stationarity that is robust to the presence of ...
We investigate the effects of outliers on the KPSS tests. We find that for nonstationary series outl...
We investigate the effects of outliers on the KPSS tests. We find that for nonstationary series outl...
The KPSS test is very popular and used extensively by practitioners. The test considers two models u...
The KPSS test is very popular and used extensively by practitioners. The test considers two models u...
International audienceThis paper shows some failures of the KPSS test when the source of the nonstat...
We establish upper bounds on the statistics bηµ and bητ proposed by Kwiat-kowski, Phillips, Schmidt,...
Stationarity tests exhibit extreme size distortions if the observable process is stationary yet high...
We propose automatic generalizations of the KPSS-test for the null hypothesis of stationarity of a u...
[eng] The role of additive outliers in integrated time series has attracted some attention recently ...
Stationarity tests exhibit extreme size distortions if the observable process is stationary yet high...
The thesis deals with some of the anomalies,that affect the predictive performance of univariate tim...
This article discusses the properties of the univariate Dickey-Fuller test and the Johansen test for...
September 2, 2009This paper proposes a new stationarity test based on the KPSS test with less size d...
In this paper, we show that the widely used stationarity tests such as the KPSS test have power clos...
This paper proposes a test of the null hypothesis of stationarity that is robust to the presence of ...
We investigate the effects of outliers on the KPSS tests. We find that for nonstationary series outl...
We investigate the effects of outliers on the KPSS tests. We find that for nonstationary series outl...
The KPSS test is very popular and used extensively by practitioners. The test considers two models u...
The KPSS test is very popular and used extensively by practitioners. The test considers two models u...
International audienceThis paper shows some failures of the KPSS test when the source of the nonstat...
We establish upper bounds on the statistics bηµ and bητ proposed by Kwiat-kowski, Phillips, Schmidt,...
Stationarity tests exhibit extreme size distortions if the observable process is stationary yet high...
We propose automatic generalizations of the KPSS-test for the null hypothesis of stationarity of a u...
[eng] The role of additive outliers in integrated time series has attracted some attention recently ...
Stationarity tests exhibit extreme size distortions if the observable process is stationary yet high...
The thesis deals with some of the anomalies,that affect the predictive performance of univariate tim...
This article discusses the properties of the univariate Dickey-Fuller test and the Johansen test for...
September 2, 2009This paper proposes a new stationarity test based on the KPSS test with less size d...
In this paper, we show that the widely used stationarity tests such as the KPSS test have power clos...
This paper proposes a test of the null hypothesis of stationarity that is robust to the presence of ...
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