Finite-sample properties of modified unit root tests in the presence of structural change.

DOI10.1016/S0096-3003(03)00167-XzbMath1035.62090OpenAlexW2080611714MaRDI QIDQ1426175

Steven Cook

Publication date: 14 March 2004

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0096-3003(03)00167-x

zbMATH Keywords

Monte Carlo simulationRecursive mean adjustmentStructural changeUnit root testsWeighted symmetric estimationEmpirical power

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Related Items (1)

Using panel data to increase the power of modified unit root tests in the presence of structural breaks

Cites Work

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• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
• Correcting size distortion of the Dickey--Fuller test via recursive mean adjustment.
• recursive Mean Adjustment for Unit Root Tests
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• The Bias of Autoregressive Coefficient Estimators
• Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
• ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS
• Efficient Tests for an Autoregressive Unit Root

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