- Tytuł:
- Unit root test under innovation outlier contamination small sample case
- Autorzy:
-
Atil, Lynda
Fellag, Hocine
Nouali, Karima - Powiązania:
- https://bibliotekanauki.pl/articles/729686.pdf
- Data publikacji:
- 2006
- Wydawca:
- Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
- Tematy:
-
autoregressive process
Dickey-Fuller test
innovation outlier
power
size - Opis:
- The two sided unit root test of a first-order autoregressive model in the presence of an innovation outlier is considered. In this paper, we present three tests; two are usual and one is new. We give formulas computing the size and the power of the three tests when an innovation outlier (IO) occurs at a specified time, say k. Using a comparative study, we show that the new statistic performs better under contamination. A Small sample case is considered only.
- Źródło:
-
Discussiones Mathematicae Probability and Statistics; 2006, 26, 1; 5-17
1509-9423 - Pojawia się w:
- Discussiones Mathematicae Probability and Statistics
- Dostawca treści:
- Biblioteka Nauki
Artykuł