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Details for article 15 of 16 found articles
| Title: |
The effects of outliers on two nonlinearity tests |
| Author: |
Tolvi, Jussi |
| Appeared in: |
Communications in statistics |
| Paging: | Volume 29 (2000) nr. 3 pages 897-918 |
| Year: |
2000 |
| Contents: |
Two Lagrange multiplier tests for time series nonlinearities in the presence of outliers are examined by simulation experiments. The nonlinearities studied are autoregressive conditional heteroskedasticity (ARCH) and bilinearity; the outlier types are additive, innovative, temporary change and reallocation outliers. The results show that both the sizes and powers of the tests can be severely distorted by even a single outlier. The severity of the distortions depends on the outlier type and magnitude, but also on the underlying process generating 'the series. |
| Publisher: |
Taylor & Francis |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 15 of 16 found articles
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