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Measurement Errors and Outliers in Seasonal Unit Root Testing

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  • Haldrup, Niels Prof.
  • Montanes, Antonio
  • Sansó, Andreu

Abstract

Frequently, seasonal and non-seasonal data (especially macro time series) are observed with noise. For instance, the time series can have irregular abrupt changes and interruptions following as a result of additive or temporary change outliers caused by external circumstances which are irrelevant for the series of interest. Equally, the time series can have measurement errors. In this paper we analyse the above types of data irregularities on the behaviour of seasonal unit roots. It occurs that in most cases outliers and measurement errors can seriously affect inference towards the rejection of seasonal unit roots. It is shown how the distortion of the tests will depend upon the frequency, magnitude, and persistence of the outliers as well as on the signal to noise ratio associated with measurement errors. Some solutions to the implied inference problems are suggested.

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Paper provided by Department of Economics, UC San Diego in its series University of California at San Diego, Economics Working Paper Series with number qt0gw7q9hk.

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Date of creation: 01 Jun 2000
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Handle: RePEc:cdl:ucsdec:qt0gw7q9hk

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Keywords: seasonal unit roots; HEGY tests; additive outliers; measurement errors; Brownian motion;

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References

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  1. Joseph Beaulieu, J. & Miron, Jeffrey A., 1993. "Seasonal unit roots in aggregate U.S. data," Journal of Econometrics, Elsevier, Elsevier, vol. 55(1-2), pages 305-328.
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Citations

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Cited by:
  1. Niels Haldrup & Antonio Montañés & Andreu Sansó, 2005. "Testing for Additive Outliers in Seasonally Integrated Time Series," DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada 15, Universitat de les Illes Balears, Departament d'Economía Aplicada.
  2. Haldrup, Niels & Nielsen, Morten Orregaard, 2007. "Estimation of fractional integration in the presence of data noise," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 51(6), pages 3100-3114, March.
  3. Gabriel Pons, 2006. "Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(2), pages 191-209, 03.
  4. Pavel Cizek & Wolfgang Härdle, 2006. "Robust Econometrics," SFB 649 Discussion Papers SFB649DP2006-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  5. Niels Haldrup & Antonio Montañés & Andreu Sansó, 2009. "Detection of additive outliers in seasonal time series," CREATES Research Papers 2009-40, School of Economics and Management, University of Aarhus.
  6. Pami Dua & Lokendra Kumawat, 2010. "Modelling and Forecasting Seasonality in Indian Macroeconomic Time Series," Working Papers id:3005, eSocialSciences.
  7. 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.
  8. Cizek, P., 2006. "Efficient Robust Estimation of Regression Models (Replaced by DP 2007-87)," Discussion Paper, Tilburg University, Center for Economic Research 2006-8, Tilburg University, Center for Economic Research.

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