Regime-switching models, like the smooth transition autoregressive (STAR) model, are typically applied to time series of moderate length. Hence, the nonlinear features that these models intend to describe may be reflected in only a few observations. Conversely, neglected outliers in a linear...

Standard unit-root and cointegration tests are sensitive to atypical events such as outliers and structural breaks. In this article, the authors use outlier-robust estimation techniques to examine the impact of these events on cointegration analysis. Their outlier-robust cointegration test...

In this paper we consider empirical econometric models for nine brands of fast-moving nondurable consumer product using weekly observed scanning data on market share and distribution conditional on advertising, price, and promotion activities. Since the data show nonstationary characteristics,...

In this paper we investigate the properties of the Lagrange Multiplier (LM) test for autoregressive conditional heteroskedasticity (ARCH) and generalized ARCH (GARCH) in the presence of additive outliers (AO's). We show analytically that both the asymptotic size and power are adversely affected...

Regime-switching models, like the smooth transition autoregressive (STAR) model are typically applied to time series of moderate length. Hence, the nonlinear features which these models intend to describe may be reflected in only a few observations. Conversely, neglected outliers in a linear...

In this paper we investigate the properties of the Lagrange Multiplier (LM) test for autoregressive conditional heteroscedasticity (ARCH) and generalized ARCH (GARCH) in the presence of additive outliers (AOs). We show analytically that both the asymptotic size and power are adversely affected...

The (Generalized) AutoRegressive Conditional Heteroscedasticity [(G)ARCH] model is tested for daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span two...

In this paper we consider empirical econometric models for nine brands of a fast-moving nondurable consumer product using weekly observed scanning data on market share and distribution conditional on advertising, price, and promotion activities. Since the data show nonstationary characteristics,...