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A note on the Vogelsang test for additive outliers

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  • Haldrup, Niels
  • Sansó, Andreu

Abstract

The role of additive outliers in integrated time series has attracted some attention recently and research shows that outlier detection should be an integral part of unit root testing procedures. Recently, Vogelsang [1999. Two simple procedures for testing for a unit root when there are additive outliers. J. Time Ser. Anal. 20, 237-52] suggested an iterative procedure for the detection of multiple additive outliers in integrated time series. However, the procedure appears to suffer from serious size distortions towards the finding of too many outliers as has been shown by Perron and Rodriguez [2003. Searching for additive outliers in nonstationary time series. J. Time Ser. Anal. 24, 193-220] In this note we prove the inconsistency of the test in each step of the iterative procedure and hence alternative routes need to be taken to detect outliers in nonstationary time series.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:3:p:296-300
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    1. Pierre Perron & Gabriel Rodríguez, 2003. "Searching For Additive Outliers In Nonstationary Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(2), pages 193-220, March.
    2. Timothy J. Vogelsang, 1999. "Two Simple Procedures for Testing for a Unit Root When There are Additive Outliers," Journal of Time Series Analysis, Wiley Blackwell, vol. 20(2), pages 237-252, March.
    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 471-478, October.
    4. Niels Haldrup & Antonio Montañés & Andreu Sansó, 2004. "Testing for Additive Outliers in Seasonally Integrated Time Series," Economics Working Papers 2004-14, Department of Economics and Business Economics, Aarhus University.
    5. 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.
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    Cited by:

    1. Charles, Amélie & Darné, Olivier, 2012. "Trends and random walks in macroeconomic time series: A reappraisal," Journal of Macroeconomics, Elsevier, vol. 34(1), pages 167-180.
    2. Olivier Darné & Amélie Charles, 2011. "Large shocks in U.S. macroeconomic time series: 1860-1988," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 5(1), pages 79-100, January.
    3. 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.

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    More about this item

    Keywords

    Additive outliers Outlier detection Integrated processes;

    JEL classification:

    • 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; Diffusion Processes

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