Browsing ECO Articles by Author "FRANSES, Philip Hans"

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Browsing ECO Articles by Author "FRANSES, Philip Hans"

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    Title: The Effects of Additive Outliers on Tests For Unit Roots and Cointegration  Author(s): FRANSES, Philip Hans; HALDRUP, Niels Date: 1994 Type of Publication: Article Abstract: This article discusses the properties of the univariate Dickey-Fuller test and the Johansen test for the cointegrating rank when there exist additive outlying observations in the time series. We provide analytical as well ...