A bootstrap test for additive outliers in non-stationary time series

DOI10.1111/jtsa.12033zbMath1277.62203OpenAlexW1593366628MaRDI QIDQ2864624

A. M. Robert Taylor, Sam Astill, David I. Harvey

Publication date: 26 November 2013

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12033

zbMATH Keywords

bootstrapadditive outliers\(t\)-test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Bootstrap, jackknife and other resampling methods (62F40)

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Cites Work

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• Further evidence on breaking trend functions in macroeconomic variables
• Additive Outlier Detection Via Extreme-Value Theory
• SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES*
• Two Simple Procedures for Testing for a Unit Root When There are Additive Outliers