A note on the Vogelsang test for additive outliers
AbstractThe 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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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 78 (2008)
Issue (Month): 3 (February)
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Other versions of this item:
- Niels Haldrup & Andreu Sansó, 2006. "A Note on the Vogelsang Test for Additive Outliers," Economics Working Papers 2006-01, School of Economics and Management, University of Aarhus.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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