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Detection of additive outliers in seasonal time series

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  • Niels Haldrup

    ()
    (Aarhus University and CREATES)

  • Antonio Montañés

    ()
    (University of Zaragoza)

  • Andreu Sansó

    ()
    (University of The Balearic Islands)

Abstract

The 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

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Bibliographic Info

Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2009-40.

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Length: 18
Date of creation: 14 Sep 2009
Date of revision:
Handle: RePEc:aah:create:2009-40

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Web page: http://www.econ.au.dk/afn/

Related research

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

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  1. 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, Wiley Blackwell, vol. 63(3), pages 435-63, July.
  2. Perron, P. & Rodriguez, G., 2000. "Seraching for Additive Outliers in Nonstationary Time Series," Working Papers, University of Ottawa, Department of Economics 0005e, University of Ottawa, Department of Economics.
  3. Niels Haldrup & Andreu Sansó, 2006. "A Note on the Vogelsang Test for Additive Outliers," Economics Working Papers, School of Economics and Management, University of Aarhus 2006-01, School of Economics and Management, University of Aarhus.
  4. Niels Haldrup & Antonio Montanés & Andreu Sanso, . "Measurement Errors and Outliers in Seasonal Unit Root Testing," Economics Working Papers, School of Economics and Management, University of Aarhus 2000-8, School of Economics and Management, University of Aarhus.
  5. Franses, Philip Hans, 1996. "Periodicity and Stochastic Trends in Economic Time Series," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780198774549, October.
  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, Elsevier, vol. 104(1), pages 91-117, August.
  7. Shin, Dong Wan & Sarkar, Sahadeb & Lee, Jong Hyup, 1996. "Unit root tests for time series with outliers," Statistics & Probability Letters, Elsevier, Elsevier, vol. 30(3), pages 189-197, October.
  8. 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, American Statistical Association, vol. 12(4), pages 471-78, October.
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