SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES*

DOI10.1111/1467-9892.00303zbMath1112.62099OpenAlexW2018323679MaRDI QIDQ3440785

Gabriel Rodríguez, Pierre Perron

Publication date: 29 May 2007

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

Full work available at URL: http://hdl.handle.net/10393/41299

zbMATH Keywords

Wiener processt-testunit rootmultiple outliersnonstationary time series

Mathematics Subject Classification ID

Multivariate analysis (62H99) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites Work

• Unnamed Item
• Unit root tests for time series with outliers
• Two Simple Procedures for Testing for a Unit Root When There are Additive Outliers