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A Note on the Vogelsang Test for Additive Outliers

Publikation: Working paper/Preprint › Working paper › Forskning

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A Note on the Vogelsang Test for Additive Outliers. / Haldrup, Niels; Sansó, Andreu.
Aarhus: Institut for Økonomi, Aarhus Universitet, 2006.

Publikation: Working paper/Preprint › Working paper › Forskning

Harvard

Haldrup, N & Sansó, A 2006 'A Note on the Vogelsang Test for Additive Outliers' Institut for Økonomi, Aarhus Universitet, Aarhus. <ftp://ftp.econ.au.dk/afn/wp/06/wp06_01.pdf>

APA

Haldrup, N., & Sansó, A. (2006). A Note on the Vogelsang Test for Additive Outliers. Institut for Økonomi, Aarhus Universitet. ftp://ftp.econ.au.dk/afn/wp/06/wp06_01.pdf

CBE

Haldrup N, Sansó A. 2006. A Note on the Vogelsang Test for Additive Outliers. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Haldrup, Niels og Andreu Sansó A Note on the Vogelsang Test for Additive Outliers. Aarhus: Institut for Økonomi, Aarhus Universitet. 2006., 7 s.

Vancouver

Haldrup N, Sansó A. A Note on the Vogelsang Test for Additive Outliers. Aarhus: Institut for Økonomi, Aarhus Universitet. 2006.

Author

Haldrup, Niels ; Sansó, Andreu. / A Note on the Vogelsang Test for Additive Outliers. Aarhus : Institut for Økonomi, Aarhus Universitet, 2006.

Bibtex

@techreport{2dffa0c0c95d11dabee902004c4f4f50,
title = "A Note on the Vogelsang Test for Additive Outliers",
abstract = "The role of additive outliers in integrated time series has attractedsome attention recently and research shows that outlier detection shouldbe an integral part of unit root testing procedures. Recently, Vogelsang(1999) suggested an iterative procedure for the detection of multiple additiveoutliers in integrated time series. However, the procedure appearsto suffr from serious size distortions towards the finding of too manyoutliers as has been shown by Perron and Rodriguez (2003). In this notewe prove the inconsistency of the test in each step of the iterative procedureand hence alternative routes need to be taken to detect outliers innonstationary time series.",
keywords = "Additive outliers, outlier detection, integrated processes",
author = "Niels Haldrup and Andreu Sans{\'o}",
year = "2006",
language = "English",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - A Note on the Vogelsang Test for Additive Outliers

AU - Haldrup, Niels

AU - Sansó, Andreu

PY - 2006

Y1 - 2006

N2 - The role of additive outliers in integrated time series has attractedsome attention recently and research shows that outlier detection shouldbe an integral part of unit root testing procedures. Recently, Vogelsang(1999) suggested an iterative procedure for the detection of multiple additiveoutliers in integrated time series. However, the procedure appearsto suffr from serious size distortions towards the finding of too manyoutliers as has been shown by Perron and Rodriguez (2003). In this notewe prove the inconsistency of the test in each step of the iterative procedureand hence alternative routes need to be taken to detect outliers innonstationary time series.

AB - The role of additive outliers in integrated time series has attractedsome attention recently and research shows that outlier detection shouldbe an integral part of unit root testing procedures. Recently, Vogelsang(1999) suggested an iterative procedure for the detection of multiple additiveoutliers in integrated time series. However, the procedure appearsto suffr from serious size distortions towards the finding of too manyoutliers as has been shown by Perron and Rodriguez (2003). In this notewe prove the inconsistency of the test in each step of the iterative procedureand hence alternative routes need to be taken to detect outliers innonstationary time series.

KW - Additive outliers, outlier detection, integrated processes

M3 - Working paper

BT - A Note on the Vogelsang Test for Additive Outliers

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -