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ArticleOriginal scientific text

Title

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

Authors 1, 1

Affiliations

  1. Department of Mathematics, Faculty of Sciences, University of Tizi-Ouzou, Tizi-Ouzou, 15000 Algeria

Abstract

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.

Keywords

ENG
autoregressive, outlier, power, size, unit root

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Discussiones Mathematicae Probability and Statistics
2002/22/1-2
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Pages:
5-13
Main language of publication
English
Received
2001-08-04
Accepted
2001-12-19
Published
2002

DOI: 10.7151/dmps.1027

Exact and natural sciences