A Note on the Vogelsang Test for Additive Outliers
A Note on the Vogelsang Test for Additive Outliers

Author: Niels Haldrup

Publisher:

Published: 2008

Total Pages: 0

ISBN-13:

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The 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.

On detecting outliers in complex data using Dixon’s test under neutrosophic statistics
On detecting outliers in complex data using Dixon’s test under neutrosophic statistics

Author: Muhammad Aslam

Publisher: Infinite Study

Published:

Total Pages: 4

ISBN-13:

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The existing Dixon’s test (DT) under classical statistics has been widely applied in a variety of fields. The main target of DT is to recognize the outlier or suspicious observation in the sample. The DT available in the literature is workable when all the observations in the sample or the population are precise, determined and certain. In practice, under the complex system, it may not possible that all observations in the data are determined.

Additive Outlier Detection Via Extreme-Value Theory
Additive Outlier Detection Via Extreme-Value Theory

Author: Peter Burridge

Publisher:

Published: 2007

Total Pages: 0

ISBN-13:

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This 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.

Almost All about Unit Roots
Almost All about Unit Roots

Author: In Choi

Publisher: Cambridge University Press

Published: 2015-05-07

Total Pages: 301

ISBN-13: 1316300587

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Many economic theories depend on the presence or absence of a unit root for their validity, and econometric and statistical theory undergo considerable changes when unit roots are present. Thus, knowledge on unit roots has become so important, necessitating an extensive, compact, and nontechnical book on this subject. This book is rested on this motivation and introduces the literature on unit roots in a comprehensive manner to both empirical and theoretical researchers in economics and other areas. By providing a clear, complete, and critical discussion of unit root literature, In Choi covers a wide range of topics, including uniform confidence interval construction, unit root tests allowing structural breaks, mildly explosive processes, exuberance testing, fractionally integrated processes, seasonal unit roots and panel unit root testing. Extensive, up to date, and readily accessible, this book is a comprehensive reference source on unit roots for both students and applied workers.

Unit Root Tests in Time Series Volume 2
Unit Root Tests in Time Series Volume 2

Author: K. Patterson

Publisher: Springer

Published: 2012-07-05

Total Pages: 586

ISBN-13: 1137003316

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Testing for a Unit Root is now an essential part of time series analysis but the literature on the topic is so large that knowing where to start is difficult even for the specialist. This book provides a way into the techniques of unit root testing, explaining the pitfalls and nonstandard cases, using practical examples and simulation analysis.

New Trends in Macroeconomics
New Trends in Macroeconomics

Author: Claude Diebolt

Publisher: Springer Science & Business Media

Published: 2005-11-21

Total Pages: 244

ISBN-13: 3540285563

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This 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.

Instability and Tourism
Instability and Tourism

Author: María Santana-Gallego

Publisher: Routledge

Published: 2020-04-28

Total Pages: 132

ISBN-13: 0429838220

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The rise of political instability and terrorism necessitates a reassessment of various tourism policy issues. This book focuses upon evaluating the impact of terrorist political conflicts and other types of instability on the tourism sector and considers the practical implications for countries being adversely affected by these episodes. Over the last decades, tourism has been adversely affected by a wide range of problems such as economic crises, social conflicts, political instability, terrorism and wars. Each of these, and their consequences on tourism, confirms the need to understand more about potential mitigating policy interventions in different contexts. This book includes six chapters exploring a wide range of themes related to instability and tourism using innovative approaches and considering different countries for their research. Precisely, countries such as Turkey, Ukraine, Jordan, Egypt and Nepal are under analysis. The articles published in this special issue were written by authors affiliated with universities in the USA, New Zealand, Spain, Egypt, Jordan and Bulgaria. All selected papers underwent a rigorous double-blind review process before final revision and acceptance. The chapters were originally published in a special issue in the Journal of Policy Research in Tourism, Leisure & Events.

Modeling and Forecasting Primary Commodity Prices
Modeling and Forecasting Primary Commodity Prices

Author: Walter C. Labys

Publisher: Routledge

Published: 2017-03-02

Total Pages: 247

ISBN-13: 1351917080

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Recent economic growth in China and other Asian countries has led to increased commodity demand which has caused price rises and accompanying price fluctuations not only for crude oil but also for the many other raw materials. Such trends mean that world commodity markets are once again under intense scrutiny. This book provides new insights into the modeling and forecasting of primary commodity prices by featuring comprehensive applications of the most recent methods of statistical time series analysis. The latter utilize econometric methods concerned with structural breaks, unobserved components, chaotic discovery, long memory, heteroskedasticity, wavelet estimation and fractional integration. Relevant tests employed include neural networks, correlation dimensions, Lyapunov exponents, fractional integration and rescaled range. The price forecasting involves structural time series trend plus cycle and cyclical trend models. Practical applications focus on the price behaviour of more than twenty international commodity markets.