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

DOI10.1080/00949650902755160zbMATH Open1195.62139OpenAlexW2038160688MaRDI QIDQ3589965FDOQ3589965

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

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zbMATH Keywords

Monte Carlo simulationadditive outliersseasonal KPSS test

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (2)

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

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