View : 16 Download: 0

Unit root tests for time series with outliers

Title
Unit root tests for time series with outliers
Authors
Shin D.W.Sarkar S.Lee J.H.
Ewha Authors
신동완
SCOPUS Author ID
신동완scopus
Issue Date
1996
Journal Title
Statistics and Probability Letters
ISSN
0167-7152JCR Link
Citation
vol. 30, no. 3, pp. 189 - 197
Indexed
SCIE; SCOPUS scopus
Abstract
Effects of additive and innovational outliers on unit root tests in ARIMA(p, 1, q) models are investigated. The limiting distribution of the ordinary least-squares estimator of the unit root parameter in the AR(1) model is affected by additive outliers but is unaffected by innovational outliers. To test for a unit root in ARIMA(p, 1, q) models in the presence of outliers, a very simple, easy-to-compute procedure is given that detects additive outliers and adjusts the observations accordingly. The detection method performed well in our numerical experiment. Our unit root tests based on the adjusted data are shown to have very good empirical sizes and powers in AR(1), AR(2) and ARMA(1, 1) models.
DOI
10.1016/0167-7152(95)00218-9
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
Files in This Item:
There are no files associated with this item.
Export
RIS (EndNote)
XLS (Excel)
XML


qrcode

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

BROWSE