Unit root test under innovation outlier contamination small sample case
Lynda Atil; Hocine Fellag; Karima Nouali
Discussiones Mathematicae Probability and Statistics (2006)
- Volume: 26, Issue: 1, page 5-17
- ISSN: 1509-9423
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topLynda Atil, Hocine Fellag, and Karima Nouali. "Unit root test under innovation outlier contamination small sample case." Discussiones Mathematicae Probability and Statistics 26.1 (2006): 5-17. <http://eudml.org/doc/277040>.
@article{LyndaAtil2006,
abstract = {The two sided unit root test of a first-order autoregressive model in the presence of an innovation outlier is considered. In this paper, we present three tests; two are usual and one is new. We give formulas computing the size and the power of the three tests when an innovation outlier (IO) occurs at a specified time, say k. Using a comparative study, we show that the new statistic performs better under contamination. A Small sample case is considered only.},
author = {Lynda Atil, Hocine Fellag, Karima Nouali},
journal = {Discussiones Mathematicae Probability and Statistics},
keywords = {autoregressive process; Dickey-Fuller test; innovation outlier; power; size},
language = {eng},
number = {1},
pages = {5-17},
title = {Unit root test under innovation outlier contamination small sample case},
url = {http://eudml.org/doc/277040},
volume = {26},
year = {2006},
}
TY - JOUR
AU - Lynda Atil
AU - Hocine Fellag
AU - Karima Nouali
TI - Unit root test under innovation outlier contamination small sample case
JO - Discussiones Mathematicae Probability and Statistics
PY - 2006
VL - 26
IS - 1
SP - 5
EP - 17
AB - The two sided unit root test of a first-order autoregressive model in the presence of an innovation outlier is considered. In this paper, we present three tests; two are usual and one is new. We give formulas computing the size and the power of the three tests when an innovation outlier (IO) occurs at a specified time, say k. Using a comparative study, we show that the new statistic performs better under contamination. A Small sample case is considered only.
LA - eng
KW - autoregressive process; Dickey-Fuller test; innovation outlier; power; size
UR - http://eudml.org/doc/277040
ER -
References
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