The Effects of Additive Outliers on Tests for Unit Roots and Cointegration

Philip Hans Franses and Niels Haldrup

Journal of Business & Economic Statistics, 1994, vol. 12, issue 4, 471-78

Abstract: This paper discusses the properties of the univariate Dickey-Fuller test and the Johansen test for the cointegrating rank when there exist additive outlying observations in the time series. The authors provide analytical as well as numerical evidence that additive outliners may produce spurious stationarity. The results easily generalize to models with 'temporary change' outliers. Through an empirical example, the authors discuss how additive and temporary change outliers can be detected in practice and they show how dummy variables can be used to remove the influence of such extreme observations.

Date: 1994
References: Add references at CitEc
Citations: View citations in EconPapers (150)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:bes:jnlbes:v:12:y:1994:i:4:p:471-78

Ordering information: This journal article can be ordered from
http://www.amstat.org/publications/index.html

Access Statistics for this article

Journal of Business & Economic Statistics is currently edited by Jonathan H. Wright and Keisuke Hirano

More articles in Journal of Business & Economic Statistics from American Statistical Association
Bibliographic data for series maintained by Christopher F. Baum ().