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A Note on the Vogelsang Test for Additive Outliers

  • Niels Haldrup
  • Andreu Sansó

    ()

    (Department of Economics, University of Aarhus, Denmark)

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.

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File URL: ftp://ftp.econ.au.dk/afn/wp/06/wp06_01.pdf
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Paper provided by School of Economics and Management, University of Aarhus in its series Economics Working Papers with number 2006-01.

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Length: 7
Date of creation: 16 Jan 2006
Date of revision:
Handle: RePEc:aah:aarhec:2006-01
Contact details of provider: Web page: http://www.econ.au.dk/afn/

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  1. 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.
  2. Perron, P. & Rodriguez, G., 2000. "Seraching for Additive Outliers in Nonstationary Time Series," Working Papers 0005e, University of Ottawa, Department of Economics.
  3. 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.
  4. 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.
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