An infimum coefficient unit root test allowing for an unknown break in trend

DOI10.1016/J.ECONLET.2012.05.023MaRDI QIDQ1925907zbMATH OpenOpenAlexFDO

Authors David I. Harvey, Stephen Leybourne

Publication date 27 December 2012

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2012.05.023

zbMATH Keywords

unit root testtrend breakminimum Dickey-Fuller test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

Recommendations

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

• Further evidence on breaking trend functions in macroeconomic variables
• GLS detrending, efficient unit root tests and structural change.
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• Tests for Unit Roots and the Initial Condition
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

Cited in

(7)

• A simple unit root testing methodology that does not require knowledge regarding the presence of a break
• Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
• The discontinuous trend unit root test when the break point is misspecified
• On infimum Dickey-Fuller unit root tests allowing for a trend break under the null
• Unit root testing under a local break in trend
• On trend breaks and initial condition in unit root testing
• Testing for a unit root in the presence of a possible break in trend

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