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The effect of additive outliers on a fractional unit root test

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  • Hafner, Christian
  • Premiger, Arie

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
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Suggested Citation

  • Hafner, Christian & Premiger, Arie, 2016. "The effect of additive outliers on a fractional unit root test," LIDAM Reprints ISBA 2016027, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2016027
    Note: In : A St A - Advances in Statistical Analysis, vol. 100, no. 4, p. 401-420 (2016)
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    References listed on IDEAS

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    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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