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Unit root test under innovation outlier contamination small sample case

Lynda AtilHocine FellagKarima Nouali — 2006

Discussiones Mathematicae Probability and Statistics

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.

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