Spurious Rejections with Endogenous Break Unit Root Tests in the Presence of Outliers and Breaks

DOI10.1080/03610910902747787zbMath1161.62056OpenAlexW2167877324MaRDI QIDQ3625367

Olivier Darné

Publication date: 12 May 2009

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910902747787

zbMATH Keywords

tablesstructural breakadditive outlierendogenous break unit root test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)

Cites Work

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• The effects of outliers on two nonlinearity tests
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