Autori
Franses, Philip Hans
Haldrup, Niels

Titolo
The effects of additive outliers on tests for unit roots and co integration
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1993 - Fascicolo: 16 - Pagina iniziale: 1 - Pagina finale: 24

This paper discusses the properties of the univariate Dickey-Fuller test and the Johansen test for the cointegrating rank when there exist additive outlying observations in the time series. The model considered in the paper has some similarities with the classical measurement error model. We provide analytical as well as numerical evidence that additive outliers may produce spurious stationarity. Hence the Dickey-Fuller test will too frequently reject a unit root and the Johansen test will indicate too many cointegrating vectors. Through an empirical example we show how dummy variables can be used to remove this caveat.



Testo completo: http://hdl.handle.net/1814/457

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