Testing for Additive Outliers in Seasonally Integrated Time Series
University of Aarhus Department of Economics Working Paper No. 2004-14
22 Pages Posted: 8 Feb 2005
Date Written: December 2004
Abstract
The detection of additive outliers in integrated variables has attracted some attention recently, see e.g. Shin et al. (1996), Vogelsang (1999) and Perron and Rodriguez (2003). This paper serves several purposes. We prove the inconsistency of the test proposed by Vogelsang, we extend the tests proposed by Shin et al. and Perron and Rodriguez to the seasonal case, and we consider alternative ways of computing their tests. We also study the effects of periodically varying variances on the previous tests and demonstrate that these can be seriously size distorted. Subsequently, some new tests that allow for periodic heteroskedasticity are proposed.
Keywords: additive outliers, outlier detection, integrated processes, periodic heteroscedasticity, seasonality
JEL Classification: C12, C2, C22
Suggested Citation: Suggested Citation