Testing for Additive Outliers in Seasonally Integrated Time Series

Niels Haldrup (), Antonio Montañés and Andreu Sansó

No 15, DEA Working Papers from Universitat de les Illes Balears, Departament d'Economía Aplicada

Abstract: The detection of additive outliers in integrated variables has attracted some attention recently, see e.g. Shin et al. (1996), Vogelsang (1999) and Perron and Rodriguez (2003). This paper serves several purposes. We prove the inconsistency of the test proposed by Vogelsang, we extend the tests proposed by Shin et al. and Perron and Rodriguez to the seasonal case, and we consider alternative ways of computing their tests. We also study the effects of periodically varying variances on the previous tests and demonstrate that these can be seriously size distorted. Subsequently, some new tests that allow for periodic heteroskedasticity are proposed.

Keywords: Additive outliers; outlier detection; integrated processes; periodic heteroscedasticity; seasonality. (search for similar items in EconPapers)
JEL-codes: C12 C2 C22 (search for similar items in EconPapers)
Date: 2005-01
New Economics Papers: this item is included in nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Testing for Additive Outliers in Seasonally Integrated Time Series (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:ubi:deawps:15

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