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Unit root test under innovation outlier contamination small sample case

100%

Atil L., Fellag H., Nouali K.

Discussiones Mathematicae Probability and Statistics

2006

tom 26

nr 1

5-17

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.

Ograniczanie wyników

1 Discussiones Mathematicae Probability and Statistics

1 Atil L.

1 Fellag H.

1 Nouali K.

1 2006

Wyniki wyszukiwania

Unit root test under innovation outlier contamination small sample case