A note on the Vogelsang test for additive outliers
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.
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Volume (Year): 78 (2008)
Issue (Month): 3 (February)
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- 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.
- Haldrup, Niels Prof. & Montanes, Antonio & SansÃ³, Andreu, 2000. "Measurement Errors and Outliers in Seasonal Unit Root Testing," University of California at San Diego, Economics Working Paper Series qt0gw7q9hk, Department of Economics, UC San Diego.
- Niels Haldrup & Antonio Montanés & Andreu Sanso, "undated". "Measurement Errors and Outliers in Seasonal Unit Root Testing," Economics Working Papers 2000-8, Department of Economics and Business Economics, Aarhus University.
- Perron, P. & Rodriguez, G., 2000.
"Seraching for Additive Outliers in Nonstationary Time Series,"
0005e, University of Ottawa, Department of Economics.
- 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, 03.
- 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.
- 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.
- Niels Haldrup & Antonio Montañés & Andreu Sansó, 2005. "Testing for Additive Outliers in Seasonally Integrated Time Series," DEA Working Papers 15, Universitat de les Illes Balears, Departament d'Economía Aplicada.
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