Unit root tests for time series with outliers
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Publication:1129416
DOI10.1016/0167-7152(95)00218-9zbMath0904.62105OpenAlexW2021684460MaRDI QIDQ1129416
Sahadeb Sarkar, Dong Wan Shin, Jong Hyup Lee
Publication date: 5 November 1998
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-7152(95)00218-9
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
Related Items (12)
The effect of additive outliers on a fractional unit root test ⋮ Influential observations in cointegrated VAR models: Danish money demand 1973–2003 ⋮ M-estimator based unit root tests in the ESTAR framework ⋮ New tests for unit roots in autoregressive processes with possibly infinite variance errors ⋮ Unobserved heterogeneity in Markovian analysis of the size distortion of unit root tests ⋮ Behavior of the Size in the Unit Root Testing Under Contamination ⋮ The effects of additive outliers on the seasonal KPSS test: a Monte Carlo analysis ⋮ A Comparative Note about Estimation of the Fractional Parameter under Additive Outliers ⋮ Spurious Rejections with Endogenous Break Unit Root Tests in the Presence of Outliers and Breaks ⋮ Malthus in cointegration space: evidence of a post-Malthusian pre-industrial England ⋮ SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES* ⋮ Measurement errors and outliers in seasonal unit root testing
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- Testing for a unit root in time series regression
- Joint Estimation of Model Parameters and Outlier Effects in Time Series
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- TESTING FOR A UNIT ROOT IN AN AR(1) TIME SERIES USING IRREGULARLY OBSERVED DATA
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