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.
@article{bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1022,
author = {Hocine Fellag},
title = {Unit root test in the presence of a single additive outlier small sample case},
journal = {Discussiones Mathematicae Probability and Statistics},
volume = {21},
year = {2001},
pages = {89-97},
zbl = {1006.62079},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1022}
}
Hocine Fellag. Unit root test in the presence of a single additive outlier small sample case. Discussiones Mathematicae Probability and Statistics, Tome 21 (2001) pp. 89-97. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1022/
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