In this paper we propose a sequential testing procedure to determine the order of differencing in seasonally observed time series processes, which builds existing approaches developed for nonseasonal series. We allow for the possible presence of multiple unit roots at both zero and seasonal...

In this paper the issue of detecting and handling outliers in the GARCH(1,1) model is addressed. Simulation evidence shows that neglecting even a single outlier has a dramatic on parameter estimates. To detect and correct for outliers, we propose an adaptation of the iterative in Chen and Liu...

When customers are classified into ordered categories, which are defined from the outset, it may happen that the majority belongs to a single category. If a market researcher is interested in the correlation between the classification and individual characteristics, the natural question is...