Testing for Additive Outliers in Seasonally Integrated Time Series
The detection of additive outliers in integrated variables has attracted some attention recently, see e.g. Shin et al. (1996), Vogelsang (1999) and Perron and Rodriguez (2003). This paper serves several purposes. We prove the inconsistency of the test proposed by Vogelsang, we extend the tests proposed by Shin et al. and Perron and Rodriguez to the seasonal case, and we consider alternative ways of computing their tests. We also study the e?ects of periodically varying variances on the previous tests and demonstrate that these can be seriously size distorted. Subsequently, some new tests that allow for periodic heteroskedasticity are proposed.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Phillips, P.C.B., 1986.
"Testing for a Unit Root in Time Series Regression,"
Cahiers de recherche
8633, Universite de Montreal, Departement de sciences economiques.
- 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.
- 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.
- 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.
- Franses, Philip Hans, 1996. "Periodicity and Stochastic Trends in Economic Time Series," OUP Catalogue, Oxford University Press, number 9780198774549.
- Shin, Dong Wan & Sarkar, Sahadeb & Lee, Jong Hyup, 1996. "Unit root tests for time series with outliers," Statistics & Probability Letters, Elsevier, vol. 30(3), pages 189-197, October.
- 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 & Paap, Richard, 2004. "Periodic Time Series Models," OUP Catalogue, Oxford University Press, number 9780199242030.
- Burridge, P. & Taylor, A.M.R., 1999.
"On Regression-Based Tests for Seasonal Unit Roots in the Presence of Periodic Heteroscedasticity,"
99-10, Department of Economics, University of Birmingham.
- Burridge, Peter & Taylor, A. M. Robert, 2001. "On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity," Journal of Econometrics, Elsevier, vol. 104(1), pages 91-117, August.
- 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.
- Phillips, P C B, 1987.
"Time Series Regression with a Unit Root,"
Econometric Society, vol. 55(2), pages 277-301, March.
- Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
- Tom Doan, "undated". "PPUNIT: RATS procedure to perform Phillips-Perron Unit Root test," Statistical Software Components RTS00160, Boston College Department of Economics.
- Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation for Research in Economics, Yale University, revised Sep 1987.
When requesting a correction, please mention this item's handle: RePEc:aah:aarhec:2004-14. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.