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A note on the Vogelsang test for additive outliers

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Author Info
Haldrup, Niels
Sansó, Andreu

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Abstract

The role of additive outliers in integrated time series has attracted some attention recently and research shows that outlier detection should be an integral part of unit root testing procedures. Recently, Vogelsang [1999. Two simple procedures for testing for a unit root when there are additive outliers. J. Time Ser. Anal. 20, 237-52] suggested an iterative procedure for the detection of multiple additive outliers in integrated time series. However, the procedure appears to suffer from serious size distortions towards the finding of too many outliers as has been shown by Perron and Rodriguez [2003. Searching for additive outliers in nonstationary time series. J. Time Ser. Anal. 24, 193-220] In this note we prove the inconsistency of the test in each step of the iterative procedure and hence alternative routes need to be taken to detect outliers in nonstationary time series.

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Publisher Info
Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 78 (2008)
Issue (Month): 3 (February)
Pages: 296-300
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Handle: RePEc:eee:stapro:v:78:y:2008:i:3:p:296-300

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Related research
Keywords: Additive outliers Outlier detection Integrated processes;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Pierre Perron & Gabriel RodrÌguez, 2003. "Searching For Additive Outliers In Nonstationary Time Series," Journal of Time Series Analysis, Blackwell Publishing, vol. 24(2), pages 193-220, 03. [Downloadable!] (restricted)
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  2. Niels Haldrup & Antonio Montañés & Andreu Sansó, 2005. "Testing for Additive Outliers in Seasonally Integrated Time Series," DEA Working Papers 15, Universitat de les Illes Balears, Departament d'Economía Aplicada. [Downloadable!]
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  3. Pieter Gautier & Michael Svarer & Coen Teulings, 2005. "Testing for Additive Outliers in Seasonally Integrated Time Series," Economics Working Papers 2005-1, School of Economics and Management, University of Aarhus. [Downloadable!]
  4. Haldrup, Niels & Montanes, Antonio & Sanso, Andreu, 2005. "Measurement errors and outliers in seasonal unit root testing," Journal of Econometrics, Elsevier, vol. 127(1), pages 103-128, July. [Downloadable!] (restricted)
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  5. Franses, Philip Hans & Haldrup, Niels, 1994. "The Effects of Additive Outliers on Tests for Unit Roots and Cointegration," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 471-78, October.
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Olivier Darné & Amélie Charles, 2009. "Large shocks in U.S. macroeconomic time series: 1860–1988," Working Papers hal-00422502_v1, HAL. [Downloadable!]
  2. Niels Haldrup & Antonio Montañés & Andreu Sansó, 2009. "Detection of additive outliers in seasonal time series," CREATES Research Papers 2009-40, School of Economics and Management, University of Aarhus. [Downloadable!]
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