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Testing for Additive Outliers in Seasonally Integrated Time Series

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Author Info
Niels Haldrup
Antonio Montañés
Andreu Sansó

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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 effects 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.

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Publisher Info
Paper provided by Universitat de les Illes Balears, Departament d'Economía Aplicada in its series DEA Working Papers with number 15.

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Date of creation: Jan 2005
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Handle: RePEc:ubi:deawps:15

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

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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

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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.
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  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)
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  3. 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!]
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  4. 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)
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  5. 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.
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  6. 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)
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(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!]
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