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A bootstrap test for additive outliers in non-stationary time series

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  • Sam Astill
  • David I. Harvey
  • A. M. Robert Taylor

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  • Sam Astill & David I. Harvey & A. M. Robert Taylor, 2013. "A bootstrap test for additive outliers in non-stationary time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(4), pages 454-465, July.
  • Handle: RePEc:bla:jtsera:v:34:y:2013:i:4:p:454-465
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    File URL: http://hdl.handle.net/10.1111/jtsa.12033
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    References listed on IDEAS

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    1. 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, March.
    2. Perron, Pierre, 1997. "Further evidence on breaking trend functions in macroeconomic variables," Journal of Econometrics, Elsevier, vol. 80(2), pages 355-385, October.
    3. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
    4. 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.
    5. Vogelsang, Timothy J & Perron, Pierre, 1998. "Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 1073-1100, November.
    6. Banerjee, Anindya & Lumsdaine, Robin L & Stock, James H, 1992. "Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 271-287, July.
    7. Peter Burridge & A. M. Robert Taylor, 2006. "Additive Outlier Detection Via Extreme-Value Theory," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(5), pages 685-701, September.
    8. Perron, Pierre & Vogelsang, Timothy J, 1992. "Nonstationarity and Level Shifts with an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 301-320, July.
    9. Harvey, David I & Leybourne, Stephen J & Newbold, Paul, 2001. " Innovational Outlier Unit Root Tests with an Endogenously Determined Break in Level," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 63(5), pages 559-575, December.
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    Cited by:

    1. V. A. Reisen & C. Lévy-Leduc & M. Bourguignon & H. Boistard, 2017. "Robust Dickey–Fuller tests based on ranks for time series with additive outliers," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 80(1), pages 115-131, January.

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