Measurement errors and outliers in seasonal unit root testing

DOI10.1016/J.JECONOM.2004.06.005zbMATH Open1337.62218OpenAlexW3122285915MaRDI QIDQ262804FDOQ262804

Authors: Niels Haldrup, Antonio Montañés, Andreu Sanso 

Publication date: 30 March 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.escholarship.org/uc/item/0gw7q9hk

Recommendations

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• scientific article; zbMATH DE number 1133212
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zbMATH Keywords

Brownian motionadditive outliersmeasurement errorsseasonal unit rootsHEGY tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Seasonal integration and cointegration
• Multiple Time Series Regression with Integrated Processes
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Joint Estimation of Model Parameters and Outlier Effects in Time Series
• SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES*
• Time Series Regression with a Unit Root
• Additional critical values and asymptotic representations for seasonal unit root tests
• Testing for unit roots in autoregressive-moving average models of unknown order
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
• Time series in the time domain
• Unit root tests for time series with outliers
• Seasonal cointegration. The Japanese consumption function (with discussion)
• Seasonal unit roots in aggregate U.S. data (with discussion)
• Likelihood ratio tests for seasonal unit roots
• Testing for Unit Roots in Monthly Time Series
• Title not available (Why is that?)
• TESTING FOR CYCLICAL NON‐STATIONARITY IN AUTOREGRESSIVE PROCESSES
• ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Two Simple Procedures for Testing for a Unit Root When There are Additive Outliers

Cited In (13)

• Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information
• ASYMPTOTICS FOR COINTEGRATED PROCESSES WITH INFREQUENT STOCHASTIC LEVEL SHIFTS AND OUTLIERS
• Estimation of fractional integration in the presence of data noise
• Spurious regressions driven by excessive volatility
• Analysis of cointegrated models with measurement errors
• A mixture‐distribution factor model for multivariate outliers
• A note on the Vogelsang test for additive outliers
• Detection of outliers in mixed regressive-spatial autoregressive models
• The performance of the overall tests of seasonal integration against nonstationary alternatives: A unifying approach
• A mixture‐distribution factor model for multivariate outliers
• Unit-root detection allowing for measurement error
• The effects of additive outliers on the seasonal KPSS test: a Monte Carlo analysis
• Rescaled variance tests for seasonal stationarity

Uses Software

• TRAMO

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