The effect of additive outliers on a fractional unit root test

Christian Hafner and Arie Preminger
Additional contact information
Arie Preminger: Ariel University

AStA Advances in Statistical Analysis, 2016, vol. 100, issue 4, No 2, 420 pages

Abstract: Abstract It is well known that additive outliers that occur with a small probability have a bias effect on the asymptotic distribution of classical unit root statistics. This paper shows that such outliers do not affect the asymptotic distribution in the case where the error term is fractionally integrated of order d, where $$0

Keywords: Fractional Brownian motion; Additive outliers; Long memory; Unit root (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10182-015-0265-5 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
Working Paper: The effect of additive outliers on a fractional unit root test (2016)
Working Paper: The Effect of Additive Outliers on Fractional Unit Root Tests (2016)
Working Paper: The effect of additive outliers on a fractional unit root test (2015)
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:spr:alstar:v:100:y:2016:i:4:d:10.1007_s10182-015-0265-5

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/10182/PS2

DOI: 10.1007/s10182-015-0265-5

Access Statistics for this article

AStA Advances in Statistical Analysis is currently edited by Göran Kauermann and Yarema Okhrin

More articles in AStA Advances in Statistical Analysis from Springer, German Statistical Society
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().