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Title:Unit root tests in the presence of innovational outliers PDF Logo
Authors:Lanne, Markku
Lütkepohl, Helmut
Saikkonen, Pentti
Issue Date:2001
Series/Report no.:Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2001,82
Abstract:Unit root tests are considered for time series with innovational outliers. The function representing the outliers can have a very general nonlinear form and additional deterministic mean and trend terms are allowed for. Prior to the tests the deterministic parts and other nuisance parameters of the data generation process are estimated in a first step. Then the series are adjusted for these terms and unit raot tests of the Dickey-Fuller type are applied to the adjusted series. The properties of previously suggested tests of this sort are analyzed and modifications are proposed which take into account estimation errors in the nuisance parameters. An important result is that estimation under the null hypothesis is preferable to estimation under local alternatives. This contrasts with results obtained by other authors for time series without outliers. A comparison with additive outlier models is also performed.
Subjects:Univariate time series
unit root
structural shift
autoregression
JEL:C22
C12
Persistent Identifier of the first edition:urn:nbn:de:kobv:11-10050593
Document Type:Working Paper
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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