On trend breaks and initial condition in unit root testing

DOI10.1515/JTSE-2016-0014MaRDI QIDQ1695693zbMATHOpenAlexFDO

Authors Anton Skrobotov

Publication date 7 February 2018

Published in Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL http://www.iep.ru/files/RePEc/gai/wpaper/0097Skrobotov.pdf

zbMATH Keywords

unit root testpre-testingasymptotic local powerlocal trend breakinfimum Dickey-Fuller testsunion of rejection

Mathematics Subject Classification ID

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

Recommendations

• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
• Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics
• Testing for unit roots in the presence of uncertainty over both the trend and initial condition
• Unit root testing under a local break in trend
• Unit root testing with stationary covariates and a structural break in the trend function

Cites work

• A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
• An infimum coefficient unit root test allowing for an unknown break in trend
• Asymptotics for linear processes
• Estimating deterministic trends with an integrated or stationary noise component
• GLS detrending, efficient unit root tests and structural change.
• GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypotheses
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Minimizing the impact of the initial condition on testing for unit roots
• On infimum Dickey-Fuller unit root tests allowing for a trend break under the null
• On testing for unit roots and the initial observation
• Power of a Unit-Root Test and the Initial Condition
• Recursive adjustment, unit root tests and structural breaks
• SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
• Testing for a unit root in the presence of a possible break in trend
• Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics
• Testing for unit roots in the presence of uncertainty over both the trend and initial condition
• Tests for Unit Roots and the Initial Condition
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• The impact of the initial condition on robust tests for a linear trend
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
• Unit root testing under a local break in trend
• Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
• Unit root tests and structural change when the initial observation is drawn from its unconditional distribution

Cited in

(6)

• On infimum Dickey-Fuller unit root tests allowing for a trend break under the null
• SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
• On the asymptotic distribution of a simple unit root test for trending and breaking series
• Unit root testing with stationary covariates and a structural break in the trend function
• Misspecification of the breaking date in segmented trend variables: Effect on the unit root tests
• The discontinuous trend unit root test when the break point is misspecified

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