The two sided unit root test of a first-order autoregressive model in the presence of an innovation outlier is considered. In this paper, we present three tests; two are usual and one is new. We give formulas computing the size and the power of the three tests when an innovation outlier (IO) occurs at a specified time, say k. Using a comparative study, we show that the new statistic performs better under contamination. A Small sample case is considered only.
@article{bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1072,
author = {Lynda Atil and Hocine Fellag and Karima Nouali},
title = {Unit root test under innovation outlier contamination small sample case},
journal = {Discussiones Mathematicae Probability and Statistics},
volume = {26},
year = {2006},
pages = {5-17},
zbl = {1128.62096},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1072}
}
Lynda Atil; Hocine Fellag; Karima Nouali. Unit root test under innovation outlier contamination small sample case. Discussiones Mathematicae Probability and Statistics, Tome 26 (2006) pp. 5-17. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1072/
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