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Two Simple Procedures for Testing for a Unit Root When There are Additive Outliers
Author(s) -
Vogelsang Timothy J.
Publication year - 1999
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/1467-9892.00135
Subject(s) - outlier , mathematics , unit root , statistic , simple (philosophy) , statistics , root (linguistics) , anomaly detection , econometrics , computer science , data mining , philosophy , linguistics , epistemology
This paper presents some results on testing for a unit root in the presence of additive outliers. Two procedures are proposed. The first procedure is to ignore the possibility of additive outliers and use modified Phillips–Perron statistics. The second procedure uses a new and very simple outlier detection statistic to identify outliers and then properly adjust standard Dickey–Fuller unit root tests. Simulations show that these procedures are robust to additive outliers in terms of size and power.