Searching for Additive Outliers in Nonstationary Time Series
Author: Pierre Perron
Publisher:
Published: 2000
Total Pages: 46
ISBN-13:
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Almost All About Unit Roots
Author: In Choi
Publisher: Cambridge University Press
Published: 2015-05-12
Total Pages: 301
ISBN-13: 1107097339
DOWNLOAD EBOOKMany 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.
A Bootstrap Test for Additive Outliers in Non-Stationary Time Series
Author: Sam Astill
Publisher:
Published: 2013
Total Pages: 0
ISBN-13:
DOWNLOAD EBOOKIn 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).
A Note on the Vogelsang Test for Additive Outliers
Author: Niels Haldrup
Publisher:
Published: 2008
Total Pages: 0
ISBN-13:
DOWNLOAD EBOOKThe 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.
Missing Observations and Additive Outliers in Time Series Models
Author: Agustín Maravall
Publisher:
Published: 1996
Total Pages: 64
ISBN-13:
DOWNLOAD EBOOKRobustness and Complex Data Structures
Author: Claudia Becker
Publisher: Springer Science & Business Media
Published: 2014-07-08
Total Pages: 377
ISBN-13: 3642354947
DOWNLOAD EBOOKThis 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.
New Trends in Macroeconomics
Author: Claude Diebolt
Publisher: Springer Science & Business Media
Published: 2005-11-21
Total Pages: 244
ISBN-13: 3540285563
DOWNLOAD EBOOKThis 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.
Additive Outlier Detection Via Extreme-Value Theory
Author: Peter Burridge
Publisher:
Published: 2007
Total Pages: 0
ISBN-13:
DOWNLOAD EBOOKThis 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.
Forecasting: principles and practice
Author: Rob J Hyndman
Publisher: OTexts
Published: 2018-05-08
Total Pages: 380
ISBN-13: 0987507117
DOWNLOAD EBOOKForecasting is required in many situations. Stocking an inventory may require forecasts of demand months in advance. Telecommunication routing requires traffic forecasts a few minutes ahead. Whatever the circumstances or time horizons involved, forecasting is an important aid in effective and efficient planning. This textbook provides a comprehensive introduction to forecasting methods and presents enough information about each method for readers to use them sensibly.
Detection of Additive Outliers in Seasonal Time Series
Author: Niels Haldrup
Publisher:
Published: 2009
Total Pages:
ISBN-13:
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