A Note about Detection of Additive Outliers with Fractional Errors
por: Rodríguez, Gabriel
Publicado: (2015)
A Note on the Size of the ADF Test with Additive Outliers and Fractional Errors. A Reappraisal about the (Non)Stationarity of the Latin-American Inflation Series
This note analyzes the empirical size of the augmented Dickey and Fuller (ADF) statistic proposedby Perron and Rodríguez (2003) when the errors are fractional. This ADF is based on a searching procedure for additive outliers based on first-differences of the data named td. Simulations show that empi...
| Autor Principal: | Rodríguez, Gabriel |
|---|---|
| Otros Autores: | Ramírez, Dionisio |
| Formato: | Artículo |
| Idioma: | spa |
| Publicado: |
Economía
2014
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| Materias: | |
| Acceso en línea: |
http://revistas.pucp.edu.pe/index.php/economia/article/view/10086/10523 |
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