EconStor >
Humboldt-Universität Berlin >
Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin >
Discussion Papers, SFB 373, HU Berlin >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/62701
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorLanne, Markkuen_US
dc.contributor.authorLütkepohl, Helmuten_US
dc.contributor.authorSaikkonen, Penttien_US
dc.date.accessioned2012-09-18T13:45:48Z-
dc.date.available2012-09-18T13:45:48Z-
dc.date.issued2001en_US
dc.identifier.piurn:nbn:de:kobv:11-10050593en_US
dc.identifier.urihttp://hdl.handle.net/10419/62701-
dc.description.abstractUnit 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.en_US
dc.language.isoengen_US
dc.publisherHumboldt-Universität Berlinen_US
dc.relation.ispartofseriesDiscussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2001,82en_US
dc.subject.jelC22en_US
dc.subject.jelC12en_US
dc.subject.ddc330en_US
dc.subject.keywordUnivariate time seriesen_US
dc.subject.keywordunit rooten_US
dc.subject.keywordstructural shiften_US
dc.subject.keywordautoregressionen_US
dc.titleUnit root tests in the presence of innovational outliersen_US
dc.typeWorking Paperen_US
dc.identifier.ppn725919698en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:sfb373:200182-
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

Files in This Item:
File Description SizeFormat
725919698.pdf313.98 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.