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Robust Inference In Autoregressions With Multiple Outliers

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Author Info
Cavaliere, Giuseppe
Georgiev, Iliyan

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Abstract

We consider robust methods for estimation and unit root (UR) testing in autoregressions with infrequent outliers whose number, size, and location can be random and unknown. We show that in this setting standard inference based on ordinary least squares estimation of an augumented Dickey Fuller critical values, yields the best combination of finite-sample size and power.

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Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 25 (2009)
Issue (Month): 06 (December)
Pages: 1625-1661
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Handle: RePEc:cup:etheor:v:25:y:2009:i:06:p:1625-1661_99

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This page was last updated on 2009-11-24.

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