The effects of additive outliers on the seasonal KPSS test: a Monte Carlo analysis

DOI10.1080/00949650902755160MaRDI QIDQ3589965zbMATH OpenOpenAlexFDO

Authors Sami Khedhiri, Ghassen El Montasser

Publication date 17 September 2010

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949650902755160

zbMATH Keywords

additive outliersMonte Carlo simulationseasonal KPSS test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Recommendations

• The KPSS test with outliers
• Seasonal unit root tests with seasonal mean shifts
• The KPSS test with seasonal dummies
• Measurement errors and outliers in seasonal unit root testing
• A bootstrap test for additive outliers in non-stationary time series

Cites work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Measurement errors and outliers in seasonal unit root testing
• Properties of sequences of partial sums of polynomial regression residuals with applications to tests for change of regression at unknown times
• Seasonal integration and cointegration
• Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
• TESTING FOR CYCLICAL NON‐STATIONARITY IN AUTOREGRESSIVE PROCESSES
• Testing for the Constancy of Parameters Over Time
• Testing for Unit Roots in Seasonal Time Series
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• The econometric analysis of seasonal time series. With a foreword by Thomas J. Sargent
• The effects of outliers on two nonlinearity tests
• Topics in Advanced Econometrics
• Unit root tests for time series with outliers

Cited in

(2)

• The KPSS test with seasonal dummies
• The KPSS test with outliers

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