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A test for additive outliers applicable to long-memory time series

Author Info

Listed author(s):
  • Chareka, Patrick
  • Matarise, Florance
  • Turner, Rolf
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    Abstract

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    File URL: http://www.sciencedirect.com/science/article/pii/S0165-1889(05)00046-1
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    Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

    Volume (Year): 30 (2006)
    Issue (Month): 4 (April)
    Pages: 595-621

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    Handle: RePEc:eee:dyncon:v:30:y:2006:i:4:p:595-621
    Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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    1. Bénédicte Vidaillet & V. D'Estaintot & P. Abécassis, 2005. "Introduction," Post-Print hal-00287137, HAL.
    2. Chen, Chung & Tiao, George C, 1990. "Random Level-Shift Time Series Models, ARIMA Approximations, and Level-Shift Detection," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 83-97, January.
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    Cited by:

    1. Westerlund, Joakim, 2009. "Testing for Unit Roots in Panel Time Series Models with Multiple Breaks," Working Papers in Economics 384, University of Gothenburg, Department of Economics.
    2. Gabriel Rodriguez, 2013. "A Comparative Note About Estimation of the Fractional Parameter under Additive Outliers," Documentos de Trabajo / Working Papers 2013-356, Departamento de Economía - Pontificia Universidad Católica del Perú.

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