A Note on the Vogelsang Test for Additive Outliers

2006 ◽  
Author(s):  
Niels Haldrup ◽  
Andreu Sansó
Keyword(s):  
Additive Outliers

scholarly journals SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES*

2003 ◽  
Vol 24 (2) ◽  
pp. 193-220 ◽  
Author(s):  
Pierre Perron ◽  
Gabriel Rodríguez
Keyword(s):  
Time Series ◽  
Nonstationary Time Series ◽  
Additive Outliers

A note on the Vogelsang test for additive outliers

2008 ◽  
Vol 78 (3) ◽  
pp. 296-300 ◽  
Author(s):  
Niels Haldrup ◽  
Andreu Sansó
Keyword(s):  
Additive Outliers

Outliers and persistence in threshold autoregressive processes

2016 ◽  
Vol 20 (1) ◽  
Author(s):  
Yamin Ahmad ◽  
Luiggi Donayre
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Simulations ◽  
Autoregressive Processes ◽  
Threshold Autoregressive ◽  
Additive Outliers ◽  
Power Of The Test

AbstractThis paper uses Monte Carlo simulations to investigate the effects of outlier observations on the properties of linearity tests against threshold autoregressive (TAR) processes. By considering different specifications and levels of persistence for the data-generating processes, we find that additive outliers distort the size of the test and that the distortion increases with the level of persistence. In addition, we also find that larger additive outliers can help to improve the power of the test in the case of persistent TAR processes.

Robust estimation in long-memory processes under additive outliers

2009 ◽  
Vol 139 (8) ◽  
pp. 2511-2525 ◽  
Author(s):  
Fabio Fajardo Molinares ◽  
Valdério Anselmo Reisen ◽  
Francisco Cribari-Neto
Keyword(s):  
Robust Estimation ◽  
Long Memory ◽  
Memory Processes ◽  
Additive Outliers ◽  
Long Memory Processes

scholarly journals Detection of Additive Outliers in Seasonal Time Series

2009 ◽  
Author(s):  
Niels Haldrup ◽  
Andreu Sansó ◽  
Antonio Montañés
Keyword(s):  
Time Series ◽  
Seasonal Time Series ◽  
Additive Outliers
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