Behavior of the Size in the Unit Root Testing Under Contamination

DOI10.1080/03610918.2012.718833zbMath1302.62188OpenAlexW2050680674MaRDI QIDQ5415885

Ana G. Sípols, Hocine Fellag, Lynda Atil

Publication date: 19 May 2014

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

Full work available at URL: https://doi.org/10.1080/03610918.2012.718833

zbMATH Keywords

hypothesis testingstructural breakunit root testingempirical size

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Influence functionals for time series (with discussion)
• Testing for a unit root in the presence of a variance shift
• Unit root tests for time series with outliers
• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
• An outlier robust unit root test with an application to the extended Nelson-Plosser data
• Behaviour of Dickey-Fuller tests when there is a break under the unit root null hypothesis
• Range Unit-Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers
• Additive Outlier Detection Via Extreme-Value Theory
• SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES*
• Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null 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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