Unit root tests for time series with outliers

Dong Wan Shin, Sahadeb Sarkar and Jong Hyup Lee

Statistics & Probability Letters, 1996, vol. 30, issue 3, 189-197

Abstract: Effects of additive and innovational outliers on unit root tests in ARIMA(p, 1, q) models are investigated. The limiting distribution of the ordinary least-squares estimator of the unit root parameter in the AR(1) model is affected by additive outliers but is unaffected by innovational outliers. To test for a unit root in ARIMA(p, 1, q) models in the presence of outliers, a very simple, easy-to-compute procedure is given that detects additive outliers and adjusts the observations accordingly. The detection method performed well in our numerical experiment. Our unit root tests based on the adjusted data are shown to have very good empirical sizes and powers in AR(1), AR(2) and ARMA(1, 1) models.

Keywords: Additive; outlier; Innovational; outlier; ARIMA; model; Outlier; detection; Time; series; Unit; root (search for similar items in EconPapers)
Date: 1996
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (25)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0167-7152(95)00218-9
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:30:y:1996:i:3:p:189-197

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().