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The effect of additive outliers on a fractional unit root test

Author

Listed:
  • Christian M. Hafner

    (Université Catholique de Louvain)

  • Arie Preminger

    (Ariel University
    Emek Yezreel Academic College)

Abstract

It is well known that additive outliers that occur with a small probability have a bias effect on the asymptotic distribution of classical unit root statistics. This paper shows that such outliers do not affect the asymptotic distribution in the case where the error term is fractionally integrated of order d, where $$0

Suggested Citation

  • Christian M. Hafner & Arie Preminger, 2016. "The effect of additive outliers on a fractional unit root test," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 100(4), pages 401-420, October.
    • Handle: RePEc:spr:alstar:v:100:y:2016:i:4:d:10.1007_s10182-015-0265-5
    DOI: 10.1007/s10182-015-0265-5
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    More about this item

    Keywords

    Fractional Brownian motion; Additive outliers; Long memory; Unit root;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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