This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Testing for Additive Outliers in Seasonally Integrated Time Series

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Niels Haldrup
Antonio Montañés
Andreu Sansó () (Department of Economics, University of Aarhus, Denmark)

Additional information is available for the following registered author(s):

Abstract

The detection of additive outliers in integrated variables has attracted some attention recently, see e.g. Shin et al. (1996), Vogelsang (1999) and Perron and Rodriguez (2003). This paper serves several purposes. We prove the inconsistency of the test proposed by Vogelsang, we extend the tests proposed by Shin et al. and Perron and Rodriguez to the seasonal case, and we consider alternative ways of computing their tests. We also study the e?ects of periodically varying variances on the previous tests and demonstrate that these can be seriously size distorted. Subsequently, some new tests that allow for periodic heteroskedasticity are proposed.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. 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: ftp://ftp.econ.au.dk/afn/wp/04/wp04_14.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by School of Economics and Management, University of Aarhus in its series Economics Working Papers with number 2004-14.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 19
Date of creation: 21 Dec 2004
Date of revision:
Handle: RePEc:aah:aarhec:2004-14

Contact details of provider:
Web page: http://www.econ.au.dk/afn/

For technical questions regarding this item, or to correct its listing, contact: ().

Related research
Keywords: Additive outliers; outlier detection; integrated processes; periodic heteroscedasticity; seasonality.;

Other versions of this item:

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
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

This paper has been announced in the following NEP Reports:

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. Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche 8633, Universite de Montreal, Departement de sciences economiques.
    Other versions:
  2. 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)
    Other versions:
  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.
    Other versions:
  4. Niel Haldrup & Antonio MontanŽs & Andreu Sanso, 2000. "Measurement Errors and Outliers in Seasonal Unit Root Testing," University of California at San Diego, Economics Working Paper Series 2000-15, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:
  5. Shin, Dong Wan & Sarkar, Sahadeb & Lee, Jong Hyup, 1996. "Unit root tests for time series with outliers," Statistics & Probability Letters, Elsevier, vol. 30(3), pages 189-197, October. [Downloadable!] (restricted)
  6. Burridge, Peter & Taylor, A. M. Robert, 2001. "On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity," Journal of Econometrics, Elsevier, vol. 104(1), pages 91-117, August. [Downloadable!] (restricted)
    Other versions:
Full references

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. 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. [Downloadable!]
    Other versions:
Statistics
Access and download statistics

Did you know? All full texts are decentralized with the publishers, none reside on this server, thus making it possible to offer this service for free to all parties.

This page was last updated on 2009-11-6.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.