Searching for Additive Outliers in Nonstationary Time Series PDF Download

Author: Pierre Perron
Publisher:
ISBN:
Category : Brownian motion processes
Languages : en
Pages : 46

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Author: In Choi
Publisher: Cambridge University Press
ISBN: 1107097339
Category : Business & Economics
Languages : en
Pages : 301

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Many economic theories depend on the presence or absence of a unit root for their validity, making familiarity with unit roots extremely important to econometric and statistical theory. This book introduces the literature on unit roots in a comprehensive manner to empirical and theoretical researchers in economics and other areas.

Author: Sam Astill
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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In this paper we propose a new procedure for detecting additive outliers in a univariate time series based on a bootstrap implementation of the test of Perron and Rodríguez (2003, Journal of Time Series Analysis 24, 193-220). This procedure is used to test the null hypothesis that a time series is uncontaminated by additive outliers against the alternative that one or more additive outliers are present. We demonstrate that the existing tests of, inter alia, Vogelsang (1999, Journal of Time Series Analysis 20, 237-52) Perron and Rodríguez (2003) and Burridge and Taylor (2006, Journal of Time Series Analysis 27, 685-701) are unable to strike a balance between size and power when the order of integration of a time series is unknown and the time series is driven by innovations drawn from an unknown distribution. We show that the proposed bootstrap testing procedure is able to control size to such an extent that its size properties are comparable with the robust test of Burridge and Taylor (2006) when the distribution of the innovations is not assumed known, whilst maintaining power in the Gaussian environment close to that of the test of Perron and Rodríguez (2003).

Author: Niels Haldrup
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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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) suggested an iterative procedure for the detection of multiple additive outliers in integrated time series. However, the procedure appears to suffr from serious size distortions towards the finding of too many outliers as has been shown by Perron and Rodriguez (2003). 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.

Author: Agustín Maravall
Publisher:
ISBN:
Category : Outliers (Statistics)
Languages : en
Pages : 64

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Author: Claudia Becker
Publisher: Springer Science & Business Media
ISBN: 3642354947
Category : Mathematics
Languages : en
Pages : 377

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​This Festschrift in honour of Ursula Gather’s 60th birthday deals with modern topics in the field of robust statistical methods, especially for time series and regression analysis, and with statistical methods for complex data structures. The individual contributions of leading experts provide a textbook-style overview of the topic, supplemented by current research results and questions. The statistical theory and methods in this volume aim at the analysis of data which deviate from classical stringent model assumptions, which contain outlying values and/or have a complex structure. Written for researchers as well as master and PhD students with a good knowledge of statistics.

Author: Claude Diebolt
Publisher: Springer Science & Business Media
ISBN: 3540285563
Category : Business & Economics
Languages : en
Pages : 244

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This text provides a new approach to the subject, including a comprehensive survey of novel theoretical approaches, methods, and models used in macroeconomics and macroeconometrics. The book gives extensive insight into economic policy, incorporates a strong international perspective, and offers a broad historical perspective.

Author: Peter Burridge
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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This article is concerned with detecting additive outliers using extreme value methods. The test recently proposed for use with possibly non-stationary time series by Perron and Rodriguez [Journal of Time Series Analysis (2003) vol. 24, pp. 193-220], is, as they point out, extremely sensitive to departures from their assumption of Gaussianity, even asymptotically. As an alternative, we investigate the robustness to distributional form of a test based on weighted spacings of the sample order statistics. Difficulties arising from uncertainty about the number of potential outliers are discussed, and a simple algorithm requiring minimal distributional assumptions is proposed and its performance evaluated. The new algorithm has dramatically lower level-inflation in face of departures from Gaussianity than the Perron-Rodriguez test, yet retains good power in the presence of outliers.

Author: Compiled by the British Library of Political and Economic Science
Publisher: Psychology Press
ISBN: 9780415354776
Category : Business & Economics
Languages : en
Pages : 698

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First published in 1952, the International Bibliography of the Social Sciences (anthropology, economics, political science, and sociology) is well established as a major bibliographic reference for students, researchers and librarians in the social sciences worldwide. Key features * Authority: Rigorous standards are applied to make the IBSS the most authoritative selective bibliography ever produced. Articles and books are selected on merit by some of the world's most expert librarians and academics. * Breadth: today the IBSS covers over 2000 journals - more than any other comparable resource. The latest monograph publications are also included. * International Coverage: the IBSS reviews scholarship published in over 30 languages, including publications from Eastern Europe and the developing world. * User friendly organization: all non-English titles are word sections. Extensive author, subject and place name indexes are provided in both English and French.

Author: Carmen Díaz-Roldán
Publisher: Cambridge Scholars Publishing
ISBN: 1443881333
Category : Business & Economics
Languages : en
Pages : 380

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"In a globalized world characterized by huge international capital mobility, there has been renewed interest in international economics in both academic circles and economic policy forums and supranational institutions. The recent financial and economic crisis, in particular, has raised questions concerning the usefulness of several economic paradigms accepted by both academia and advising government institutions. Advances on International Economics offers a broad overview of recent developments in international economics, both theoretical and empirical, adapted from contributions to the XV Conference on International Economics, organized by the Spanish Association of International Economics and Finance (AEEFI), and the University of Salamanca, Spain. The main topics of the contributions to this volume cover modelling international economics, macroeconomic aspects of international trade and finance, international factor movements, and international business. The chapters offer new theories and practical insights through the use of empirical tools for international policy recommendations."--Provided by publisher.