EconPapers    
Economics at your fingertips  
 

Measurement Errors and Outliers in Seasonal Unit Root Testing

Niels Haldrup (), Antonio Montañés () and Andreu Sansó ()

University of California at San Diego, Economics Working Paper Series from Department of Economics, UC San Diego

Abstract: 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 roots. 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)
Date: 2000-06-01
References: Add references at CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
https://www.escholarship.org/uc/item/0gw7q9hk.pdf;origin=repeccitec (application/pdf)

Related works:
Journal Article: Measurement errors and outliers in seasonal unit root testing (2005) Downloads
Working Paper: Measurement Errors and Outliers in Seasonal Unit Root Testing Downloads
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:cdl:ucsdec:qt0gw7q9hk

Access Statistics for this paper

More papers in University of California at San Diego, Economics Working Paper Series from Department of Economics, UC San Diego Contact information at EDIRC.
Bibliographic data for series maintained by Lisa Schiff ().

 
Page updated 2019-09-01
Handle: RePEc:cdl:ucsdec:qt0gw7q9hk