scientific article; zbMATH DE number 5274712

MaRDI QIDQ5386505zbMATH OpenFDO

Authors Markku Lanne, Pentti Saikkonen, Helmut Lütkepohl

Publication date 14 May 2008

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Unit root tests and heavy-tailed innovations
• New innovational outlier unit root test with a break at an unknown time
• Unit root test under innovation outlier contamination small sample case
• Bootstrap innovational outlier unit root tests in dependent panels
• Unit root tests for time series with outliers
• Unit root testing in the presence of innovation variance breaks: a simple solution with increased power
• An outlier robust unit root test with an application to the extended Nelson-Plosser data

Cited in

(10)

• Unit root tests for time series with outliers
• An outlier robust unit root test with an application to the extended Nelson-Plosser data
• The effect of additive outliers on a fractional unit root test
• Innovational Outliers in INAR(1) Models
• New innovational outlier unit root test with a break at an unknown time
• Spurious Rejections with Endogenous Break Unit Root Tests in the Presence of Outliers and Breaks
• Robust inference in autoregressions with multiple outliers
• Lagrange multiplier unit root test in the presence of a break in the innovation variance
• Robust Dickey-Fuller tests based on ranks for time series with additive outliers
• Unit root test under innovation outlier contamination small sample case

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