On infimum Dickey-Fuller unit root tests allowing for a trend break under the null

DOI10.1016/J.CSDA.2012.10.017zbMATH Open1506.62077OpenAlexW1995630403MaRDI QIDQ1623643FDOQ1623643

Authors David I. Harvey, Stephen Leybourne, A. M. Robert Taylor

Publication date 23 November 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2012.10.017

zbMATH Keywords

unit root testtrend breakminimum Dickey-Fuller test

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Non-Markovian processes: hypothesis testing (62M07)

Recommendations

• Behaviour of Dickey-Fuller tests when there is a break under the unit root null hypothesis
• Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics
• Behaviour of Dickey–Fuller Unit‐Root Tests Under Trend Misspecification
• An infimum coefficient unit root test allowing for an unknown break in trend
• On trend breaks and initial condition in unit root testing
• Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
• Unit root testing with stationary covariates and a structural break in the trend function
• Testing for a unit root in the presence of a possible break in trend
• On the asymptotic distribution of a simple unit root test for trending and breaking series

Cites work

• A joint test for structural stability and a unit root in autoregressions
• Further evidence on breaking trend functions in macroeconomic variables
• Localized level crossing random walk test robust to the presence of structural breaks
• Structural breaks with deterministic and stochastic trends
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses

Cited in

(8)

• Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics
• A simple unit root testing methodology that does not require knowledge regarding the presence of a break
• On the asymptotic distribution of a simple unit root test for trending and breaking series
• On trend breaks and initial condition in unit root testing
• The discontinuous trend unit root test when the break point is misspecified
• An infimum coefficient unit root test allowing for an unknown break in trend
• On the Use of the Flexible Fourier Form in Unit Root Tests, Endogenous Breaks, and Parameter Instability
• UNIT ROOTS, TREND BREAKS, AND TRANSITORY DYNAMICS: A MACROECONOMIC PERSPECTIVE

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