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...

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...

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,...

In the present paper we confine ourselves to proposing tests for smooth transition nonlinearity in the presence ou outliers. We consider outlier robust estimation techniques to modify the tests developed by Luukkonen et al

Standard unit root tests and cointegration tests are sensitive to atypical events such as outliers and structural breaks. This paper uses outlier robust estimation techniques to reduce the impact of these events on cointegration analysis. As a byproduct of computing the robust estimator, we...

In this paper we propose a simple method to measure the impact of promotional activities on weekly market share. The main idea is to assume that if promotion has an effect, it generates an additive outlier or a temporary level shift in the market share data. We propose an outlier robust...

Unit root tests and cointegration tests are sensitive to atypical events as outliers and structural breaks. This paper uses outlier robust estimation techniques to reduce the impact of these events on cointegration analysis. As a byproduct of computing the robust estimator, we obtain weights for...