Detection of additive outliers in seasonal time series
AbstractThe detection and location of additive outliers in integrated variables has attracted much attention recently because such outliers tend to affect unit root inference among other things. Most of these procedures have been developed for non-seasonal processes. However, the presence of seasonality in the form of seasonally varying means and variances affect the properties of outlier detection procedures, and hence appropriate adjustments of existing methods are needed for seasonal data. In this paper we suggest modifications of tests proposed by Shin et al. (1996) and Perron and Rodriguez (2003) to deal with data sampled at a seasonal frequency and the size and power properties are discussed. We also show that the presence of periodic heteroscedasticity will inflate the size of the tests and hence will tend to identify an excessive number of outliers. A modified Perron-Rodriguez test which allows periodically varying variances is suggested and it is shown to have excellent properties in terms of both power and size
Download InfoIf 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.
Bibliographic InfoPaper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2009-40.
Date of creation: 14 Sep 2009
Date of revision:
Contact details of provider:
Web page: http://www.econ.au.dk/afn/
Additive outliers; outlier detection; integrated processes; periodic heteroscedasticity; seasonality;
Other versions of this item:
- Haldrup Niels & Montañes Antonio & Sansó Andreu, 2011. "Detection of Additive Outliers in Seasonal Time Series," Journal of Time Series Econometrics, De Gruyter, vol. 3(2), pages 1-20, April.
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-10-03 (All new papers)
- NEP-ECM-2009-10-03 (Econometrics)
- NEP-ETS-2009-10-03 (Econometric Time Series)
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.:
- Burridge, P. & Taylor, A.M.R., 1999.
"On Regression-Based Tests for Seasonal Unit Roots in the Presence of Periodic Heteroscedasticity,"
99-10, Department of Economics, University of Birmingham.
- 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.
- Niels Haldrup & Antonio Montanés & Andreu Sanso, .
"Measurement Errors and Outliers in Seasonal Unit Root Testing,"
Economics Working Papers
2000-8, School of Economics and Management, University of Aarhus.
- 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.
- Haldrup, Niels Prof. & Montanes, Antonio & SansÃ³, Andreu, 2000. "Measurement Errors and Outliers in Seasonal Unit Root Testing," University of California at San Diego, Economics Working Paper Series qt0gw7q9hk, Department of Economics, UC San Diego.
- Perron, P. & Ng, S., 1994.
"Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties,"
Cahiers de recherche
9427, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Perron, Pierre & Ng, Serena, 1996. "Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties," Review of Economic Studies, Wiley Blackwell, vol. 63(3), pages 435-63, July.
- Perron, P. & Ng, S., 1994. "Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties," Cahiers de recherche 9427, Universite de Montreal, Departement de sciences economiques.
- Franses, Philip Hans, 1996. "Periodicity and Stochastic Trends in Economic Time Series," OUP Catalogue, Oxford University Press, number 9780198774549.
- Pierre Perron & Gabriel RodrÌguez, 2003.
"Searching For Additive Outliers In Nonstationary Time Series,"
Journal of Time Series Analysis,
Wiley Blackwell, vol. 24(2), pages 193-220, 03.
- Perron, P. & Rodriguez, G., 2000. "Seraching for Additive Outliers in Nonstationary Time Series," Working Papers 0005e, University of Ottawa, Department of Economics.
- 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.
- 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.
- Haldrup, Niels & Sansó, Andreu, 2008. "A note on the Vogelsang test for additive outliers," Statistics & Probability Letters, Elsevier, vol. 78(3), pages 296-300, February.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.