Unit root tests for time series with outliers

Dong Wan Shin, Sahadeb Sarkar, Jong Hyup Lee

Research output: Contribution to journalArticlepeer-review

27 Scopus citations


Effects of additive and innovational outliers on unit root tests in ARIMA(p, 1, q) models are investigated. The limiting distribution of the ordinary least-squares estimator of the unit root parameter in the AR(1) model is affected by additive outliers but is unaffected by innovational outliers. To test for a unit root in ARIMA(p, 1, q) models in the presence of outliers, a very simple, easy-to-compute procedure is given that detects additive outliers and adjusts the observations accordingly. The detection method performed well in our numerical experiment. Our unit root tests based on the adjusted data are shown to have very good empirical sizes and powers in AR(1), AR(2) and ARMA(1, 1) models.

Original languageEnglish
Pages (from-to)189-197
Number of pages9
JournalStatistics and Probability Letters
Issue number3
StatePublished - 30 Oct 1996

Bibliographical note

Funding Information:
The researcho f the first author was supportedb y a grant from Korea Sciencea nd EngineeringF oundation and the researcho f the seconda uthorwas supportedb y a Grant from the Arts and SciencesR esearchF und


  • ARIMA model
  • Additive outlier
  • Innovational outlier
  • Outlier detection
  • Time series
  • Unit root


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