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) suggested an iterative procedure for the detection of multiple additive outliers in integrated time series. However, the procedure appears to suffr from serious size distortions towards the finding of too many outliers as has been shown by Perron and Rodriguez (2003). 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.
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.:
- Niels Haldrup & Antonio Montañés & Andreu Sansó, 2004.
"Testing for Additive Outliers in Seasonally Integrated Time Series,"
Economics Working Papers
2004-14, School of Economics and Management, University of Aarhus.
- 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.
- 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, . "Measurement Errors and Outliers in Seasonal Unit Root Testing," Economics Working Papers 2000-8, School of Economics and Management, University of Aarhus.
- 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.
- Perron, P. & Rodriguez, G., 2000. "Seraching for Additive Outliers in Nonstationary Time Series," Working Papers 0005e, University of Ottawa, Department of Economics.
- 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 471-78, October.
When requesting a correction, please mention this item's handle: RePEc:aah:aarhec:2006-01. 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 references are entirely missing, you can add them using this form.