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A test for additive outliers applicable to long-memory time series

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  • Chareka, Patrick
  • Matarise, Florance
  • Turner, Rolf

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  • Chareka, Patrick & Matarise, Florance & Turner, Rolf, 2006. "A test for additive outliers applicable to long-memory time series," Journal of Economic Dynamics and Control, Elsevier, vol. 30(4), pages 595-621, April.
    • Handle: RePEc:eee:dyncon:v:30:y:2006:i:4:p:595-621
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    References listed on IDEAS

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    1. Gemai Chen & Bovas Abraham & Shelton Peiris, 1994. "Lag Window Estimation Of The Degree Of Differencing In Fractionally Integrated Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(5), pages 473-487, September.
    2. Bénédicte Vidaillet & V. d'Estaintot & P. Abécassis, 2005. "Introduction," Post-Print hal-00287137, HAL.
    3. Bovas Abraham & Alice Chuang, 1993. "Expectation‐Maximization Algorithms And The Estimation Of Time Series Models In The Presence Of Outliers," Journal of Time Series Analysis, Wiley Blackwell, vol. 14(3), pages 221-234, May.
    4. Valderio A. Reisen, 1994. "ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(3), pages 335-350, May.
    5. Chen, Chung & Tiao, George C, 1990. "Random Level-Shift Time Series Models, ARIMA Approximations, and Level-Shift Detection," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 83-97, January.
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    Cited by:

    1. Gabriel Rodriguez & Dionisio Ramirez, 2013. "A comparison between Tau-d and the procedure TRAMO-SEATS is also included," Documentos de Trabajo / Working Papers 2013-355, Departamento de Economía - Pontificia Universidad Católica del Perú.
    2. Gabriel Rodriguez, 2013. "A Comparative Note About Estimation of the Fractional Parameter under Additive Outliers," Documentos de Trabajo / Working Papers 2013-356, Departamento de Economía - Pontificia Universidad Católica del Perú.
    3. Gabriel Rodriguez & Dionisio Ramirez, 2014. "A Note on the Size of the ADF Test with Additive Outliers and Fractional Errors. A Reappraisal about the (Non)Stationarity of the Latin-American Inflation Series," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 37(73), pages 113-132.
    4. Westerlund, Joakim, 2009. "Testing for Unit Roots in Panel Time Series Models with Multiple Breaks," Working Papers in Economics 384, University of Gothenburg, Department of Economics.

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