Cointegration analysis in the presence of outliers

DOI10.1111/j.1368-423X.2004.00130.xzbMath1053.62102OpenAlexW3124148383MaRDI QIDQ3156196

Heino Bohn Nielsen

Publication date: 6 January 2005

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

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2004.00130.x

zbMATH Keywords

dummy variablescointegrated VARadditive outlierinnovational outlier

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

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Uses Software

• Ox

Cites Work

• Missing observations in ARIMA models: Skipping approach versus additive outlier approach
• Outlier robust analysis of long-run marketing effects for weekly scanning data
• A distance measure between cointegration spaces
• Classical and Bayesian aspects of robust unit root inference
• Cointegration analysis in the presence of structural breaks in the deterministic trend
• Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process
• Two Simple Procedures for Testing for a Unit Root When There are Additive Outliers