Testing for Additive Outliers in Seasonally Integrated Time Series
نویسندگان
چکیده
منابع مشابه
Searching for Additive Outliers In Nonstationary Time Series¤
Recently, Vogelsang (1999) proposed a method to detect outliers which explicitly imposes the null hypothesis of a unit root. It works in an iterative fashion to select multiple outliers in a given series. We show, via simulations, that under the null hypothesis of no outliers, it has the right size in ...nite samples to detect a single outlier but when applied in an iterative fashion to select ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2004
ISSN: 1556-5068
DOI: 10.2139/ssrn.664041