Abstract
This note shows the empirical dangers of the presence of large additive outliers when testing for unit roots using standard unit root statistics. Using recent proposed procedures applied to four Latin-American inflation series, I show that the unit root hypothesis cannot be rejected.
| Original language | English |
|---|---|
| Pages (from-to) | 361-372 |
| Number of pages | 12 |
| Journal | Empirical Economics |
| Volume | 29 |
| Issue number | 2 |
| DOIs | |
| State | Published - Jun 2004 |
| Externally published | Yes |
Keywords
- ADF test
- Additive outliers
- GLS detrended data
- Inflation
- M-tests
- Unit root
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