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ArticleOriginal scientific text

Title

Unit root test under innovation outlier contamination small sample case

Authors 1, 1, 1

Affiliations

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

Abstract

The two sided unit root test of a first-order autoregressive model in the presence of an innovation outlier is considered. In this paper, we present three tests; two are usual and one is new. We give formulas computing the size and the power of the three tests when an innovation outlier (IO) occurs at a specified time, say k. Using a comparative study, we show that the new statistic performs better under contamination. A Small sample case is considered only.

Keywords

ENG
autoregressive process, Dickey-Fuller test, innovation outlier, power, size

Bibliography

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Discussiones Mathematicae Probability and Statistics
2006/26/1
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Pages:
5-17
Main language of publication
English
Received
2005-02-11
Published
2006

DOI: 10.7151/dmps.1072

Exact and natural sciences