Measurement errors and outliers in seasonal unit root testing

DOI10.1016/J.JECONOM.2004.06.005MaRDI QIDQ262804zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

additive outliersBrownian motionHEGY testsmeasurement errorsseasonal unit roots

Mathematics Subject Classification ID

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

Recommendations

• Testing for Unit Roots in Seasonal Time Series
• Seasonal unit root tests with seasonal mean shifts
• Efficient tests of the seasonal unit root hypothesis
• REGRESSION-BASED SEASONAL UNIT ROOT TESTS
• scientific article; zbMATH DE number 1133212
• Seasonal Unit Root Tests Based on Forward and Reverse Estimation
• Seasonal unit root tests and the role of initial conditions

Cites work

• Additional critical values and asymptotic representations for seasonal unit root tests
• ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• scientific article; zbMATH DE number 48301 (Why is no real title available?)
• Joint Estimation of Model Parameters and Outlier Effects in Time Series
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Likelihood ratio tests for seasonal unit roots
• Multiple Time Series Regression with Integrated Processes
• SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES*
• Seasonal cointegration. The Japanese consumption function (with discussion)
• Seasonal integration and cointegration
• Seasonal unit roots in aggregate U.S. data (with discussion)
• TESTING FOR CYCLICAL NON‐STATIONARITY IN AUTOREGRESSIVE PROCESSES
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing for Unit Roots in Monthly Time Series
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Time series in the time domain
• 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
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties

Cited in

(13)

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

Describes a project that uses

Uses Software

• TRAMO

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