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- W2145655333 abstract "This paper presents some results on testing for a unit root in the presence of additive outliers. Two procedures are proposed. The first procedure is to ignore the possibility of additive outliers and use modified Phillips–Perron statistics. The second procedure uses a new and very simple outlier detection statistic to identify outliers and then properly adjust standard Dickey–Fuller unit root tests. Simulations show that these procedures are robust to additive outliers in terms of size and power." @default.
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- W2145655333 date "1999-03-01" @default.
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- W2145655333 title "Two Simple Procedures for Testing for a Unit Root When There are Additive Outliers" @default.
- W2145655333 doi "https://doi.org/10.1111/1467-9892.00135" @default.
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