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 effects 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.
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- 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, Department of Economics and Business Economics, Aarhus University.
- 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.
- Burridge, P. & Taylor, A.M.R., 1999. "On Regression-Based Tests for Seasonal Unit Roots in the Presence of Periodic Heteroscedasticity," Discussion Papers 99-10, Department of Economics, University of Birmingham.
- 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.
- 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.
- Tom Doan, . "PPUNIT: RATS procedure to perform Phillips-Perron Unit Root test," Statistical Software Components RTS00160, Boston College Department of Economics.
- 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.
- 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, December.
- 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.
- Franses, Philip Hans, 1996. "Periodicity and Stochastic Trends in Economic Time Series," OUP Catalogue, Oxford University Press, number 9780198774549, December.
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