Measurement errors and outliers in seasonal unit root testing
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Publication:262804
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
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
Cites Work
- Seasonal integration and cointegration
- Time series in the time domain
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- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
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- 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
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