A note on the Vogelsang test for additive outliers

被引：3

作者：

Haldrup, Niels ^{[1
,2
]}

Sanso, Andreu ^{[3
]}

机构：

[1] Aarhus Univ, CREATES, DK-8000 Aarhus C, Denmark

[2] Aarhus Univ, Sch Econ & Management, DK-8000 Aarhus, Denmark

[3] Univ Balearic Isl, Dept Appl Econ, Palma de Mallorca, Spain

来源：

STATISTICS & PROBABILITY LETTERS | 2008年 / 78卷 / 03期

关键词：

additive outliers; outlier detection; integrated processes; TIME-SERIES;

D O I：

10.1016/j.spl.2007.07.004

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：

The role of additive outliers in integrated time series has attracted some attention recently and research shows that outlier detection should be an integral part of unit root testing procedures. Recently, Vogelsang [1999. Two simple procedures for testing for a unit root when there are additive outliers. J. Time Ser. Anal. 20, 237-52] suggested an iterative procedure for the detection of multiple additive outliers in integrated time series. However, the procedure appears to suffer from serious size distortions towards the finding of too many outliers as has been shown by Perron and Rodriguez [2003. Searching for additive outliers in nonstationary time series. J. Time Ser. Anal. 24, 193-220] In this note we prove the inconsistency of the test in each step of the iterative procedure and hence alternative routes need to be taken to detect outliers in nonstationary time series. (c) 2007 Published by Elsevier B.V.

引用

页码：296 / 300

页数：5

共 8 条

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