Two Simple Procedures for Testing for a Unit Root When There are Additive Outliers

DOI10.1111/1467-9892.00135zbMath0939.62094OpenAlexW2145655333MaRDI QIDQ4956031

Timothy J. Vogelsang

Publication date: 24 May 2000

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00135

zbMATH Keywords

hypothesis testDickey-Fuller proceduremodified Phillips-Perron test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (12)

Cointegration analysis in the presence of outliers ⋮ The effect of additive outliers on a fractional unit root test ⋮ The finite-sample performance of robust unit root tests ⋮ A note on the Vogelsang test for additive outliers ⋮ Behavior of the Size in the Unit Root Testing Under Contamination ⋮ Comment on “Statistical Adequacy and the Testing of Trend Versus Difference Stationarity” by Andreou and Spanos (Number 1) ⋮ A Comparative Note about Estimation of the Fractional Parameter under Additive Outliers ⋮ Spurious Rejections with Endogenous Break Unit Root Tests in the Presence of Outliers and Breaks ⋮ Malthus in cointegration space: evidence of a post-Malthusian pre-industrial England ⋮ A bootstrap test for additive outliers in non-stationary time series ⋮ SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES* ⋮ Measurement errors and outliers in seasonal unit root testing

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