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Observaciones anómalas y contrastes de raíz unitaria en datos semanales

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  • CÁCERES HERNÁNDEZ, José Juan

    (Departamento de Economía de las Instituciones, Estadística Económica y Econometría. Facultad de Ciencias Económicas y Empresariales. Universidad de La Laguna)

  • CANO FERNÁNDEZ, Víctor J.

    (Departamento de Economía de las Instituciones, Estadística Económica y Econometría. Facultad de Ciencias Económicas y Empresariales. Universidad de La Laguna)

  • MARTÍN ÁLVAREZ, Francisco J.

    (Departamento de Economía de las Instituciones, Estadística Económica y Econometría. Facultad de Ciencias Económicas y Empresariales. Universidad de La Laguna)

Abstract

Hylleberg y otros (1990) desarrollaron un procedimiento de contraste de raíces unitarias estacionales para datos trimestrales. Dicho procedimiento fue extendido a series semanales por Cáceres (1996). Pues bien, en este trabajo se examinan los efectos de la presencia de observaciones anómalas sobre el tamaño y la potencia de los contrastes de raíz unitaria en datos semanales. La evaluación de dichos efectos se lleva a cabo a través de experimentos de Monte Carlo y, únicamente, para el caso de observaciones anómalas de tipo aditivo, que se introducen –con diferente tamaño y frecuencia– como elementos integrantes del proceso generador de datos. Asimismo, se toman en consideración distintas situaciones caracterizadas por la incorporación o no de ciertos componentes determinísticos en la regresión auxiliar de contraste. Los resultados obtenidos se complementan con una aplicación empírica a una serie temporal económica real. Hylleberg et al (1990) developed a procedure for testing for seasonal unit roots in quarterly data, which was extended to weekly series by Cáceres (1996). Size and power of seasonal unit root tests depend on the presence of outlying observations. In this paper, these effects are analyzed by weekly series. The measuring of such effects is based on Monte Carlo methods. We have studied only one type of outliers: additive outliers, with different magnitudes and frequencies. Because the test statistic distributions depend on whether or not certain deterministic terms are present or absent, various combinations of constants, seasonal dummies and trends have been included in the auxiliary regression. The obtained results are illustrated with an application to economic time series.

Suggested Citation

  • CÁCERES HERNÁNDEZ, José Juan & CANO FERNÁNDEZ, Víctor J. & MARTÍN ÁLVAREZ, Francisco J., 2001. "Observaciones anómalas y contrastes de raíz unitaria en datos semanales," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 17, pages 85-105, Abril.
  • Handle: RePEc:lrk:eeaart:17_1_6
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    References listed on IDEAS

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    1. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238.
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    Keywords

    weekly data; unit roots; additive outliers;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • 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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