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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99-10, Department of Economics, University of Birmingham.
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2000-8, Department of Economics and Business Economics, Aarhus University.
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Cahiers de recherche
8633, Universite de Montreal, Departement de sciences economiques.
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- Pierre Perron & Gabriel RodrÌguez, 2003.
"Searching For Additive Outliers In Nonstationary Time Series,"
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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.
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