Advanced Search
MyIDEAS: Login to save this article or follow this journal

Searching For Additive Outliers In Nonstationary Time Series

Contents:

Author Info

  • Pierre Perron
  • Gabriel RodrÌguez

Abstract

Recently, Vogelsang (1999) proposed a method to detect outliers which explicitly imposes the null hypothesis of a unit root. It works in an iterative fashion to select multiple outlier in a given series. We show, via simulations, that, under the null hypothesis of no outliers, it has the right size in finite samples to detect a single outlier but, when applied in an iterative fashion to select multiple outliers, it exhibits severe size distortions towards finding an excessive number of outliers. We show that his iterative method is incorrect and derive the appropriate limiting distribution of the test at each step of the search. Whether corrected or not, we also show that the outliers need to be very large for the method to have any decent power. We propose an alternative method based on first-differenced data that has considerably more power. We also show that our method to identify outliers leads to unit root tests with more accurate finite sample size and robustness to departures from a unit root. The issues are illustrated using two US/Finland real-exchange rate series. Copyright 2003 Blackwell Publishing Ltd.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.blackwell-synergy.com/servlet/useragent?func=synergy&synergyAction=showTOC&journalCode=jtsa&volume=24&issue=2&year=2003&part=null
File Function: link to full text
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Wiley Blackwell in its journal Journal of Time Series Analysis.

Volume (Year): 24 (2003)
Issue (Month): 2 (03)
Pages: 193-220

as in new window
Handle: RePEc:bla:jtsera:v:24:y:2003:i:2:p:193-220

Contact details of provider:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782

Order Information:
Web: http://www.blackwellpublishing.com/subs.asp?ref=0143-9782

Related research

Keywords:

Other versions of this item:

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:24:y:2003:i:2:p:193-220. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.