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Two Simple Procedures for Testing for a Unit Root When There are Additive Outliers
Article first published online: 4 JAN 2002
DOI: 10.1111/1467-9892.00135
Blackwell Publishers Ltd 1999
1467-9892/asset/cover.gif?v=1&s=eec782011cf3959dc4aa59555e8f84f3d4459106 "Journal of Time Series Analysis")
Additional Information
How to Cite
Vogelsang, T. J. (1999), Two Simple Procedures for Testing for a Unit Root When There are Additive Outliers. Journal of Time Series Analysis, 20: 237–252. doi: 10.1111/1467-9892.00135
Publication History
- Issue published online: 4 JAN 2002
- Article first published online: 4 JAN 2002
- Abstract
- Cited By
Keywords:
- Hypothesis test;
- modified Phillips–Perron test;
- dummy variable;
- Dickey–Fuller procedure
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.