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A Note on the Vogelsang Test for Additive Outliers

Research output: Working paperResearch

  • Niels Haldrup
  • Andreu Sansó, University of the Balearic Islands, Spain
  • Afdeling for Nationaløkonomi
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.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages7
Publication statusPublished - 2006

    Research areas

  • Additive outliers, outlier detection, integrated processes

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