Measurement Errors and Outliers in Seasonal Unit Root Testing
Niels Haldrup (),
Antonio Montañés () and
Andreu Sansó ()
Economics Working Papers from Department of Economics and Business Economics, Aarhus University
Frequently, seasonal and non-seasonal data (especially macro time series) are observed with noise. For instance, the time series can have irregular abrupt changes and interruptions following as a result of additive or temporary change outliers caused by external circumstances which are irrelevant for the series of interest. Equally, the time series can have measurement errors. In this paper we analyse the above types of data irregularities on the behaviour of seasonal unit root tests. It occurs that in most cases outliers and measurement errors can seriously affect inference towards the rejection of seasonal unit roots. It is shown how the distortion of the tests will depend upon the frequency, magnitude, and persistence of the outliers as well as on the signal to noise ratio associated with measurement errors. Some solutions to the implied inference problems are suggested.
Keywords: Seasonal unit roots; HEGY tests; additive outliers; measurement errors; Brownian motion (search for similar items in EconPapers)
JEL-codes: C12 C2 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
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Journal Article: Measurement errors and outliers in seasonal unit root testing (2005)
Working Paper: Measurement Errors and Outliers in Seasonal Unit Root Testing (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:aah:aarhec:2000-8
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