Geodesic
Unit root test in the presence of a single additive outlier small sample case
Discussiones Mathematicae. Probability and Statistics, Tome 22 (2002) no. 1-2, pp. 5-13

Voir la notice de l'article provenant de la source Library of Science

The one sided unit root test of a first-order autoregressive model in the presence of an additive outlier is considered. In this paper, we present a formula to compute the size and the power of the test when an AO (additive outlier) occurs at a time k. A small sample case is considered only.
Keywords: autoregressive, outlier, power, size, unit root 
@article{DMPS_2002_22_1-2_a0,
     author = {Fellag, Hocine and Abdouche, Safia},
     title = {Unit root test in the presence of a single additive outlier small sample case},
     journal = {Discussiones Mathematicae. Probability and Statistics},
     pages = {5--13},
     publisher = {mathdoc},
     volume = {22},
     number = {1-2},
     year = {2002},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/DMPS_2002_22_1-2_a0/}
}
TY  - JOUR
AU  - Fellag, Hocine
AU  - Abdouche, Safia
TI  - Unit root test in the presence of a single additive outlier small sample case
JO  - Discussiones Mathematicae. Probability and Statistics
PY  - 2002
SP  - 5
EP  - 13
VL  - 22
IS  - 1-2
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/DMPS_2002_22_1-2_a0/
LA  - en
ID  - DMPS_2002_22_1-2_a0
ER  - 
%0 Journal Article
%A Fellag, Hocine
%A Abdouche, Safia
%T Unit root test in the presence of a single additive outlier small sample case
%J Discussiones Mathematicae. Probability and Statistics
%D 2002
%P 5-13
%V 22
%N 1-2
%I mathdoc
%U http://geodesic.mathdoc.fr/item/DMPS_2002_22_1-2_a0/
%G en
%F DMPS_2002_22_1-2_a0
Fellag, Hocine; Abdouche, Safia. Unit root test in the presence of a single additive outlier small sample case. Discussiones Mathematicae. Probability and Statistics, Tome 22 (2002) no. 1-2, pp. 5-13. http://geodesic.mathdoc.fr/item/DMPS_2002_22_1-2_a0/