The effect of additive outliers on a fractional unit root test

DOI10.1007/S10182-015-0265-5MaRDI QIDQ1622085zbMATH OpenOpenAlexFDO

Authors Christian M. Hafner, Arie Preminger

Publication date 12 November 2018

Published in AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL https://dial.uclouvain.be/pr/boreal/fr/object/boreal%3A177294/datastream/PDF_01/view

zbMATH Keywords

additive outliersfractional Brownian motionlong memoryunit root

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Estimating the persistence and the autocorrelation function of a time series that is measured with error
• Estimation of fractional integration in the presence of data noise
• Estimation of long memory in integrated variance
• Fractional differencing
• Handbook of Volatility Models and Their Applications
• scientific article; zbMATH DE number 1735137 (Why is no real title available?)
• Joint Estimation of Model Parameters and Outlier Effects in Time Series
• Jump-robust volatility estimation using nearest neighbor truncation
• Long memory processes and fractional integration in econometrics
• Long-Memory Errors in Time Series Regressions with a Unit Root
• Modeling and Forecasting Realized Volatility
• SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES*
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• The Fractional Unit Root Distribution
• Time Series Regression with a Unit Root
• Two Simple Procedures for Testing for a Unit Root When There are Additive Outliers
• Unit root tests for time series with outliers

Cited in

(2)

• Estimation of fractional integration in the presence of data noise
• Two Simple Procedures for Testing for a Unit Root When There are Additive Outliers

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