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

Abstract

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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.

How to cite

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Lynda 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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  9. [10] P.C.B. Phillips, Time series with unit root, Econometrica 55 (1987), 277-301. Zbl0613.62109
  10. [11] P.C.B. Phillips and P. Perron, Testing for a unit root in time series regression, Biometrika 75 (1988), 335-346. Zbl0644.62094
  11. [12] D.W. Shin, S. Sarkar and J.H. Lee, Unit root tests for time series with outliers, Statistics and Probability Letters 30 (3) (1996), 189-197. Zbl0904.62105
  12. [13] C.A. Sims and H. Uhlig, Understanding unit rooters: a helicopter tour, Econometrica 59 (6) (1991), 1591-1599. Zbl0739.62085

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