Cavaliere, Giuseppe; Georgiev, Iliyan - In: Econometric Theory 25 (2009) 06, pp. 1625-1661
We consider robust methods for estimation and unit root (UR) testing in autoregressions with infrequent outliers whose number, size, and location can be random and unknown. We show that in this setting standard inference based on ordinary least squares estimation of an augumented Dickey–Fuller...