Outliers in Nonstationary Time Series

Wai-Sum Chan ()
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Wai-Sum Chan: The Chinese University of Hong Kong

Journal of Quantitative Economics, 2006, vol. 4, issue 2, No 7, 75-83

Abstract: Abstract In this paper we investigate the limiting effects of additive outliers on model specification of nonstationary time series. Monte Carlo results show that even a small outlier could create significant spurious sample autocorrelations and partial autocorrelations which might lead to erroneous model specification.

Keywords: Additive outliers; Model specification; Seasonal ARIMA models; Spurious autocorrelations; C22; C51 (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1007/BF03546449

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