Measurement errors and outliers in seasonal unit root testing

DOI10.1016/j.jeconom.2004.06.005zbMath1337.62218OpenAlexW3122285915MaRDI QIDQ262804

Antonio Montanés, Andreu Sanso, Niels Haldrup

Publication date: 30 March 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.escholarship.org/uc/item/0gw7q9hk

zbMATH Keywords

Brownian motionadditive outliersmeasurement errorsseasonal unit rootsHEGY tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (12)

The performance of the overall tests of seasonal integration against nonstationary alternatives: A unifying approach ⋮ Rescaled variance tests for seasonal stationarity ⋮ Spurious regressions driven by excessive volatility ⋮ A note on the Vogelsang test for additive outliers ⋮ The effects of additive outliers on the seasonal KPSS test: a Monte Carlo analysis ⋮ A mixture‐distribution factor model for multivariate outliers ⋮ A mixture‐distribution factor model for multivariate outliers ⋮ Detection of outliers in mixed regressive-spatial autoregressive models ⋮ ASYMPTOTICS FOR COINTEGRATED PROCESSES WITH INFREQUENT STOCHASTIC LEVEL SHIFTS AND OUTLIERS ⋮ Analysis of cointegrated models with measurement errors ⋮ Estimation of fractional integration in the presence of data noise ⋮ Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information

Uses Software

• TRAMO

Cites Work

• Seasonal integration and cointegration
• Time series in the time domain
• Unit root tests for time series with outliers
• Seasonal cointegration. The Japanese consumption function (with discussion)
• Seasonal unit roots in aggregate U.S. data (with discussion)
• Additional critical values and asymptotic representations for seasonal unit root tests
• Likelihood Ratio Tests for Seasonal Unit Roots
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES*
• Testing for unit roots in autoregressive-moving average models of unknown order
• Multiple Time Series Regression with Integrated Processes
• Testing for Unit Roots in Monthly Time Series
• TESTING FOR CYCLICAL NON‐STATIONARITY IN AUTOREGRESSIVE PROCESSES
• ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Joint Estimation of Model Parameters and Outlier Effects in Time Series
• Time Series Regression with a Unit Root
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
• Two Simple Procedures for Testing for a Unit Root When There are Additive Outliers
• Unnamed Item

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