Discussiones Mathematicae Probability and Statistics 21(2) (2001) 89-97

UNIT ROOT TEST IN THE PRESENCE OF A SINGLE ADDITIVE OUTLIER SMALL SAMPLE CASE

 Hocine Fellag

 Department of Mathematics
Faculty of Sciences, University of Tizi-Ouzou
Tizi-Ouzou, 15000 Algeria
e-mail: hfellag@yahoo.com

Abstract

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.

2000 Mathematics Subject Classification: Primary 62F11; Secondary 62M10.

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Received 4 August 2001
Revised 19 December 2001