A Note on the Vogelsang Test for Additive Outliers

Niels Haldrup () and Andreu Sansó

Economics Working Papers from Department of Economics and Business Economics, Aarhus University

Abstract: The role of additive outliers in integrated time series has attracted some attention recently and research shows that outlier detection should be an integral part of unit root testing procedures. Recently, Vogelsang (1999) suggested an iterative procedure for the detection of multiple additive outliers in integrated time series. However, the procedure appears to suffr from serious size distortions towards the finding of too many outliers as has been shown by Perron and Rodriguez (2003). In this note we prove the inconsistency of the test in each step of the iterative procedure and hence alternative routes need to be taken to detect outliers in nonstationary time series.

Keywords: Additive outliers; outlier detection; integrated processes (search for similar items in EconPapers)
JEL-codes: C12 C2 C22 (search for similar items in EconPapers)
Pages: 7
Date: 2006-01-16
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://repec.econ.au.dk/repec/afn/wp/06/wp06_01.pdf (application/pdf)

Related works:
Journal Article: A note on the Vogelsang test for additive outliers (2008)
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:aah:aarhec:2006-01

Access Statistics for this paper

More papers in Economics Working Papers from Department of Economics and Business Economics, Aarhus University
Bibliographic data for series maintained by ().