Unit root tests for time series with outliers

被引：26

作者：

Shin, DW

Sarkar, S

Lee, JH

机构：

[1] EWHA WOMANS UNIV,DEPT STAT,SEOUL,SOUTH KOREA

[2] OKLAHOMA STATE UNIV,DEPT STAT,STILLWATER,OK 74078

[3] SUNGSHIN WOMENS UNIV,DEPT STAT,SEOUL,SOUTH KOREA

来源：

STATISTICS & PROBABILITY LETTERS | 1996年 / 30卷 / 03期

关键词：

additive outlier; innovational outlier; ARIMA model; outlier detection; time series; unit root; MODELS; REGRESSION;

D O I：

10.1016/0167-7152(95)00218-9

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Effects of additive and innovational outliers on unit root tests in ARIMA(p. 1, cl) models are investigated. The limiting distribution of the ordinary least-squares estimator of the unit root parameter in the AR(I) model is affected by additive outliers but is unaffected by innovational outliers. To test for a unit root in ARIMA(p, 1, q) models in the presence of outliers, a very simple, easy-to-compute procedure is given that detects additive outliers and adjusts the observations accordingly. The detection method performed well in our numerical experiment. Our unit root tests based on the adjusted data are shown to have very good empirical sizes and powers in AR(1), AR(2) and ARMA(1, 1) models.

引用

页码：189 / 197

页数：9

共 20 条

[1]

BRUCE AG, 1989, J ROY STAT SOC B MET, V51, P363

[2] ESTIMATION OF TIME-SERIES PARAMETERS IN THE PRESENCE OF OUTLIERS [J].