Franses, Philip Hans; Haldrup, Niels - In: Journal of Business & Economic Statistics 12 (1994) 4, pp. 471-78
This paper 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. The authors provide analytical as well as numerical evidence that additive outliners may produce spurious...