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2002 | 22 | 1-2 | 5-13
Tytuł artykułu

Unit root test in the presence of a single additive outlier small sample case

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
The one sided unit root test of a first-order autoregressive model in the presence of an additive outlier is considered. In this paper, we present a formula to compute the size and the power of the test when an AO (additive outlier) occurs at a time k. A small sample case is considered only.
Słowa kluczowe
Rocznik
Tom
22
Numer
1-2
Strony
5-13
Opis fizyczny
Daty
wydano
2002
otrzymano
2001-08-04
poprawiono
2001-12-19
Twórcy
  • Department of Mathematics, Faculty of Sciences, University of Tizi-Ouzou, Tizi-Ouzou, 15000 Algeria
  • Department of Mathematics, Faculty of Sciences, University of Tizi-Ouzou, Tizi-Ouzou, 15000 Algeria
Bibliografia
  • [1] Abraham, Bovas and Box, E.P George, Bayesian analysis of some outlier problems in time series, Biometrika 66 (2) (1979), 229-236.
  • [2] D.A. Dickey and W.A. Fuller, Distribution of estimators for autoregressive time series with unit root, J. Amer. Statist. Assoc. 74 (1979), 427-431.
  • [3] F.X. Diebold, Empirical modeling of exchange rate dynamics, Springer Verlag 1988.
  • [4] A.J. Fox, Outliers in Time Series, J. Roy. Stat. Soc., Ser. B 34 (1972), 350-363.
  • [5] H.P. Franses and N. Haldrup, The effects of additive outliers on tests for unit roots and cointegration, J. Bus. Econ. Stat. 12 (1994), 1-8.
  • [6] W.A. Fuller, Introduction to statistical time series, second edition, John Wiley, New York 1996.
  • [7] J.P. Imhoff, Computing the distribution of quadratic forms in normal variables, Biometrika 48 3 and 4 (1961), 419-426.
  • [8] G.S. Maddala and C.R. Rao, Handbook in Statistics, Elsevier Sciences (New York) 15 (1997), 237-266.
  • [9] P. Perron, The great crash, the oil rice shock, and the unit root hypothesis, Econometrica 57 (6) (1989), 1361-1401.
  • [10] P.C.B. Phillips, Time series with unit root, Econometrica 55 (1987), 277-301.
  • [11] PC.B. Phillips and P. Perron, Testing for a unit root in time series regression, Biometrika 75 (1988), 335-346.
  • [12] D.W. Shin and S. Sarkar, Testing for unit root in an AR(1) time series using irregularly observed data, Journal of Time Series Analysis 17 (3) (1996), 309-321.
  • [13] D.W. Shin, S. Sarkar and J.H. Lee, Unit root tests for time series with outliers, Statistics and Probability Letters 30 (1996), 189-197.
  • [14] C.A. Sims and H. Uhlig, Understanding unit rooters: a helicopter tour, Econometrica 59 (6) (1991), 1591-1599.
  • [15] M.L. Tiku and W.K. Wong, Testing for a unit root in an AR(1) model using three and four moment approximations: symmetric distributions, Communication In Statistics, Computation and Simulation 27 (1) (1998), 185-198.
  • [16] J.V. Timothy, Two simple procedures for testing for unit root when there are additive outliers, Journal of Time Series Analysis 20 (2) (1999), 237-252.
  • [17] T.J. Vogelsang, Two simple procedures for testing for unit root root when there are additive outliers, Journal of Time series Analysis 20 (2) (1999), 237-252.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1027
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