Full-text resources of CEJSH and other databases are now available in the new Library of Science.
Visit https://bibliotekanauki.pl

Refine search results

Journals help

  1. 1 Przegląd Statystyczny

Authors help

  1. 1 Rosiak-Lada K.

Years help

  1. 1 2007

Results found: 1

first rewind previous Page / 1 next fast forward last

Search results

Search:
in the keywords:  OUTLIERS
help Sort By:

help Limit search:
first rewind previous Page / 1 next fast forward last
1

SIMPLE UNIT ROOT TEST ROBUST TO OUTLIERS

100%
Rosiak-Lada K.
Przegląd Statystyczny
|
2007
|
vol. 54
|
issue 4
34-48
EN
In this article an alternative method for analysis the integration of time series is proposed. The procedure is appropriate in the presence of outliers and was called 'linearized Dickey-Fuller test'. The method is based on the assumption that the data is generated by some ARIMA (Autoregressive integrated moving average) proces. In the first step, the outliers are identified on the basis of likelihood ratio tests, using REGARIMA model. Then, the estimated effect of outliers is removed from the data. In the last step, the Dickey-Fuller test is applied to the adjusted series. It is shown, via simulations, that the procedure leads to the unit root test with accurate finite sample size and considerably improved power.
first rewind previous Page / 1 next fast forward last
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.