Measurement errors and outliers in seasonal unit root testing

Journal of Econometrics

Volumn 127, Issue 1, 2005, Pages 103-128

  Haldrup, Niels ^a   Montanés, Antonio ^b   Sanso, Andreu ^c  

^a AARHUS UNIVERSITY   (Denmark)

^b UNIVERSITY OF ZARAGOZA   (Spain)

^c UNIVERSITAT DE LES ILLES BALEARS   (Spain)

Author keywords

Additive outliers; Brownian motion; HEGY tests; Measurement errors; Seasonal unit roots

Indexed keywords

BROWNIAN MOVEMENT; DATA REDUCTION; MATHEMATICAL MODELS; PROBLEM SOLVING; SIGNAL TO NOISE RATIO; TIME SERIES ANALYSIS;

ADDITIVE OUTLIERS; HEGY TESTS; ROOT INFERENCE; SEASONAL UNIT ROOTS;

MEASUREMENT ERRORS;

EID: 15944365553     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2004.06.005     Document Type: Article

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