Unit root test in the presence of a single additive outlier small sample case

Hocine Fellag; Safia Abdouche

Discussiones Mathematicae Probability and Statistics (2002)

  • Volume: 22, Issue: 1-2, page 5-13
  • ISSN: 1509-9423

Abstract

top
The one sided unit root test of a first-order autoregressive model in the presence of an additive outlier is considered. In this paper, we present a formula to compute the size and the power of the test when an AO (additive outlier) occurs at a time k. A small sample case is considered only.

How to cite

top

Hocine Fellag, and Safia Abdouche. "Unit root test in the presence of a single additive outlier small sample case." Discussiones Mathematicae Probability and Statistics 22.1-2 (2002): 5-13. <http://eudml.org/doc/287646>.

@article{HocineFellag2002,
abstract = {The one sided unit root test of a first-order autoregressive model in the presence of an additive outlier is considered. In this paper, we present a formula to compute the size and the power of the test when an AO (additive outlier) occurs at a time k. A small sample case is considered only.},
author = {Hocine Fellag, Safia Abdouche},
journal = {Discussiones Mathematicae Probability and Statistics},
keywords = {autoregressive; outlier; power; size; unit root; autoregression; unit roots},
language = {eng},
number = {1-2},
pages = {5-13},
title = {Unit root test in the presence of a single additive outlier small sample case},
url = {http://eudml.org/doc/287646},
volume = {22},
year = {2002},
}

TY - JOUR
AU - Hocine Fellag
AU - Safia Abdouche
TI - Unit root test in the presence of a single additive outlier small sample case
JO - Discussiones Mathematicae Probability and Statistics
PY - 2002
VL - 22
IS - 1-2
SP - 5
EP - 13
AB - The one sided unit root test of a first-order autoregressive model in the presence of an additive outlier is considered. In this paper, we present a formula to compute the size and the power of the test when an AO (additive outlier) occurs at a time k. A small sample case is considered only.
LA - eng
KW - autoregressive; outlier; power; size; unit root; autoregression; unit roots
UR - http://eudml.org/doc/287646
ER -

References

top
  1. [1] Abraham, Bovas and Box, E.P George, Bayesian analysis of some outlier problems in time series, Biometrika 66 (2) (1979), 229-236. Zbl0407.62063
  2. [2] D.A. Dickey and W.A. Fuller, Distribution of estimators for autoregressive time series with unit root, J. Amer. Statist. Assoc. 74 (1979), 427-431. Zbl0413.62075
  3. [3] F.X. Diebold, Empirical modeling of exchange rate dynamics, Springer Verlag 1988. 
  4. [4] A.J. Fox, Outliers in Time Series, J. Roy. Stat. Soc., Ser. B 34 (1972), 350-363. Zbl0249.62089
  5. [5] H.P. Franses and N. Haldrup, The effects of additive outliers on tests for unit roots and cointegration, J. Bus. Econ. Stat. 12 (1994), 1-8. 
  6. [6] W.A. Fuller, Introduction to statistical time series, second edition, John Wiley, New York 1996. Zbl0851.62057
  7. [7] J.P. Imhoff, Computing the distribution of quadratic forms in normal variables, Biometrika 48 3 and 4 (1961), 419-426. 
  8. [8] G.S. Maddala and C.R. Rao, Handbook in Statistics, Elsevier Sciences (New York) 15 (1997), 237-266. 
  9. [9] P. Perron, The great crash, the oil rice shock, and the unit root hypothesis, Econometrica 57 (6) (1989), 1361-1401. Zbl0683.62066
  10. [10] P.C.B. Phillips, Time series with unit root, Econometrica 55 (1987), 277-301. Zbl0613.62109
  11. [11] PC.B. Phillips and P. Perron, Testing for a unit root in time series regression, Biometrika 75 (1988), 335-346. Zbl0644.62094
  12. [12] D.W. Shin and S. Sarkar, Testing for unit root in an AR(1) time series using irregularly observed data, Journal of Time Series Analysis 17 (3) (1996), 309-321. Zbl0888.62089
  13. [13] D.W. Shin, S. Sarkar and J.H. Lee, Unit root tests for time series with outliers, Statistics and Probability Letters 30 (1996), 189-197. Zbl0904.62105
  14. [14] C.A. Sims and H. Uhlig, Understanding unit rooters: a helicopter tour, Econometrica 59 (6) (1991), 1591-1599. Zbl0739.62085
  15. [15] M.L. Tiku and W.K. Wong, Testing for a unit root in an AR(1) model using three and four moment approximations: symmetric distributions, Communication In Statistics, Computation and Simulation 27 (1) (1998), 185-198. Zbl0897.62098
  16. [16] J.V. Timothy, Two simple procedures for testing for unit root when there are additive outliers, Journal of Time Series Analysis 20 (2) (1999), 237-252. Zbl0939.62094
  17. [17] T.J. Vogelsang, Two simple procedures for testing for unit root root when there are additive outliers, Journal of Time series Analysis 20 (2) (1999), 237-252. Zbl0939.62094

NotesEmbed ?

top

You must be logged in to post comments.

To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.

Only the controls for the widget will be shown in your chosen language. Notes will be shown in their authored language.

Tells the widget how many notes to show per page. You can cycle through additional notes using the next and previous controls.

    
                

                
Note: Best practice suggests putting the JavaScript code just before the closing </body> tag.