Advanced Search
MyIDEAS: Login

Observaciones anómalas y contrastes de raíz unitaria en datos semanales

Contents:

Author Info

  • CÁCERES HERNÁNDEZ, José Juan

    (Departamento de Economía de las Instituciones, Estadística Económica y Econometría. Facultad de Ciencias Económicas y Empresariales. Universidad de La Laguna)

  • CANO FERNÁNDEZ, Víctor J.

    (Departamento de Economía de las Instituciones, Estadística Económica y Econometría. Facultad de Ciencias Económicas y Empresariales. Universidad de La Laguna)

  • MARTÍN ÁLVAREZ, Francisco J.

    (Departamento de Economía de las Instituciones, Estadística Económica y Econometría. Facultad de Ciencias Económicas y Empresariales. Universidad de La Laguna)

Abstract

Hylleberg y otros (1990) desarrollaron un procedimiento de contraste de raíces unitarias estacionales para datos trimestrales. Dicho procedimiento fue extendido a series semanales por Cáceres (1996). Pues bien, en este trabajo se examinan los efectos de la presencia de observaciones anómalas sobre el tamaño y la potencia de los contrastes de raíz unitaria en datos semanales. La evaluación de dichos efectos se lleva a cabo a través de experimentos de Monte Carlo y, únicamente, para el caso de observaciones anómalas de tipo aditivo, que se introducen –con diferente tamaño y frecuencia– como elementos integrantes del proceso generador de datos. Asimismo, se toman en consideración distintas situaciones caracterizadas por la incorporación o no de ciertos componentes determinísticos en la regresión auxiliar de contraste. Los resultados obtenidos se complementan con una aplicación empírica a una serie temporal económica real. Hylleberg et al (1990) developed a procedure for testing for seasonal unit roots in quarterly data, which was extended to weekly series by Cáceres (1996). Size and power of seasonal unit root tests depend on the presence of outlying observations. In this paper, these effects are analyzed by weekly series. The measuring of such effects is based on Monte Carlo methods. We have studied only one type of outliers: additive outliers, with different magnitudes and frequencies. Because the test statistic distributions depend on whether or not certain deterministic terms are present or absent, various combinations of constants, seasonal dummies and trends have been included in the auxiliary regression. The obtained results are illustrated with an application to economic time series.

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.revista-eea.net
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 Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

Volume (Year): 17 (2001)
Issue (Month): (Abril)
Pages: 85-105

as in new window
Handle: RePEc:lrk:eeaart:17_1_6

Contact details of provider:
Postal: Beatriz Rodríguez Prado. Facultad de CC.EE. y EE. Avda. Valle del Esgueva. Valladolid 47011 SPAIN
Phone: (34) 983 423320
Fax: (34) 983 184568
Web page: http://www.revista-eea.net
More information through EDIRC

Order Information:
Email:
Web: http://www.revista-eea.net

Related research

Keywords: weekly data; unit roots; additive outliers;

Find related papers by JEL classification:

References

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.:
as in new window
  1. Hylleberg, Svend, 1995. "Tests for seasonal unit roots general to specific or specific to general?," Journal of Econometrics, Elsevier, vol. 69(1), pages 5-25, September.
  2. Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal Integration And Cointegration," Papers 0-88-2, Pennsylvania State - Department of Economics.
  3. 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.
  4. Perron, Pierre & Vogelsang, Timothy J, 1992. "Nonstationarity and Level Shifts with an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 301-20, July.
  5. Leybourne, Stephen J. & C. Mills, Terence & Newbold, Paul, 1998. "Spurious rejections by Dickey-Fuller tests in the presence of a break under the null," Journal of Econometrics, Elsevier, vol. 87(1), pages 191-203, August.
  6. Clements, Michael P. & Hendry, David F., 1997. "An empirical study of seasonal unit roots in forecasting," International Journal of Forecasting, Elsevier, vol. 13(3), pages 341-355, September.
  7. Eric Zivot & Donald W.K. Andrews, 1990. "Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Cowles Foundation Discussion Papers 944, Cowles Foundation for Research in Economics, Yale University.
  8. Perron, Pierre & Vogelsang, Timothy J, 1992. "Testing for a Unit Root in a Time Series with a Changing Mean: Corrections and Extensions," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 467-70, October.
  9. J. Joseph Beaulieu & Jeffrey A. Miron, 1992. "Seasonal Unit Roots in Aggregate U.S. Data," NBER Technical Working Papers 0126, National Bureau of Economic Research, Inc.
  10. Canova, Fabio & Hansen, Bruce E, 1995. "Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 237-52, July.
  11. Abeysinghe, Tilak, 1994. "Deterministic seasonal models and spurious regressions," Journal of Econometrics, Elsevier, vol. 61(2), pages 259-272, April.
  12. Lucas, Andre, 1995. "An outlier robust unit root test with an application to the extended Nelson-Plosser data," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 153-173.
  13. Jeffrey A. Miron, 1990. "The Economics of Seasonal Cycles," NBER Working Papers 3522, National Bureau of Economic Research, Inc.
  14. Philip Hans Franses & Timothy J. Vogelsang, 1998. "On Seasonal Cycles, Unit Roots, And Mean Shifts," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 231-240, May.
  15. Francisco J. MartÎn-âlvarez & Victor J. Cano-FernÂndez & JosÊ J. CÂceres-HernÂndez, 1999. "The introduction of seasonal unit roots and cointegration to test index aggregation optimality: An application to a Spanish farm price index," Empirical Economics, Springer, vol. 24(3), pages 403-414.
  16. Osborn, Denise R. & Heravi, Saeed & Birchenhall, C. R., 1999. "Seasonal unit roots and forecasts of two-digit European industrial production," International Journal of Forecasting, Elsevier, vol. 15(1), pages 27-47, February.
Full references (including those not matched with items on IDEAS)

Citations

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:lrk:eeaart:17_1_6. 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: (Beatriz Rodríguez Prado).

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.