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

Hocine Fellag

Discussiones Mathematicae Probability and Statistics (2001)

  • Volume: 21, Issue: 2, page 89-97
  • ISSN: 1509-9423

Abstract

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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

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Hocine Fellag. "Unit root test in the presence of a single additive outlier small sample case." Discussiones Mathematicae Probability and Statistics 21.2 (2001): 89-97. <http://eudml.org/doc/287708>.

@article{HocineFellag2001,
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},
journal = {Discussiones Mathematicae Probability and Statistics},
keywords = {autoregressive; outlier; power; size; unit root; outliers; unit roots; autoregressive model},
language = {eng},
number = {2},
pages = {89-97},
title = {Unit root test in the presence of a single additive outlier small sample case},
url = {http://eudml.org/doc/287708},
volume = {21},
year = {2001},
}

TY - JOUR
AU - Hocine Fellag
TI - Unit root test in the presence of a single additive outlier small sample case
JO - Discussiones Mathematicae Probability and Statistics
PY - 2001
VL - 21
IS - 2
SP - 89
EP - 97
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; outliers; unit roots; autoregressive model
UR - http://eudml.org/doc/287708
ER -

References

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  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

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