Outlier Detection in Cointegration Analysis
提出一种稳健协整检验方法，用于识别异常值和结构断点对协整分析的影响，并通过权重计算定位异常事件发生时间，适用于实证研究中的诊断分析。
Abstract Standard unit-root and cointegration tests are sensitive to atypical events such as outliers and structural breaks. In this article, we use outlier-robust estimation techniques to examine the impact of these events on cointegration analysis. Our outlier-robust cointegration test provides a new diagnostic tool for signaling when standard cointegration results might be driven by a few aberrant observations. A main feature of our approach is that the proposed robust estimator can be used to compute weights for all observations, which in turn can be used to identify the approximate dates of atypical events. We evaluate our method using simulated data and a Monte Carlo experiment. We also present an empirical example showing the usefulness of the proposed analysis. KEY WORDS: CointegrationDiagnosticsOutliersRobust estimationStructural breaksUnit roots