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Empirical Likelihood for Outlier Detection and Estimation in Autoregressive Time Series

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  • Roberto Baragona
  • Francesco Battaglia
  • Domenico Cucina

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  • Roberto Baragona & Francesco Battaglia & Domenico Cucina, 2016. "Empirical Likelihood for Outlier Detection and Estimation in Autoregressive Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(3), pages 315-336, May.
    • Handle: RePEc:bla:jtsera:v:37:y:2016:i:3:p:315-336
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    File URL: http://hdl.handle.net/10.1111/jtsa.12145
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    References listed on IDEAS

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    1. Nelson, Charles R & Piger, Jeremy & Zivot, Eric, 2001. "Markov Regime Switching and Unit-Root Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(4), pages 404-415, October.
    2. Franses, Philip Hans & Haldrup, Niels, 1994. "The Effects of Additive Outliers on Tests for Unit Roots and Cointegration," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 471-478, October.
    3. Cavaliere, Giuseppe & Georgiev, Iliyan, 2009. "Robust Inference In Autoregressions With Multiple Outliers," Econometric Theory, Cambridge University Press, vol. 25(6), pages 1625-1661, December.
    4. Peter Burridge & A. M. Robert Taylor, 2006. "Additive Outlier Detection Via Extreme‐Value Theory," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(5), pages 685-701, September.
    5. Stephen J. Leybourne And Paul Newbold, 2000. "Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis," Econometrics Journal, Royal Economic Society, vol. 3(1), pages 1-15.
    6. Imbens, Guido W, 2002. "Generalized Method of Moments and Empirical Likelihood," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 493-506, October.
    7. Min Tsao & Fan Wu, 2014. "Extended empirical likelihood for estimating equations," Biometrika, Biometrika Trust, vol. 101(3), pages 703-710.
    8. Jing Qin, 1994. "Semi-empirical likelihood ratio confidence intervals for the difference of two sample means," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 46(1), pages 117-126, March.
    9. Bartolucci, Francesco, 2007. "A penalized version of the empirical likelihood ratio for the population mean," Statistics & Probability Letters, Elsevier, vol. 77(1), pages 104-110, January.
    10. Venkata Jandhyala & Stergios Fotopoulos & Ian MacNeill & Pengyu Liu, 2013. "Inference for single and multiple change-points in time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(4), pages 423-446, July.
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    Cited by:

    1. González-Sánchez, Mariano, 2021. "Is there a relationship between the time scaling property of asset returns and the outliers? Evidence from international financial markets," Finance Research Letters, Elsevier, vol. 38(C).
    2. Roberto Baragona & Francesco Battaglia & Domenico Cucina, 2017. "Empirical likelihood ratio in penalty form and the convex hull problem," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 26(4), pages 507-529, November.

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