On the end-point issue in unit root tests in the presence of a structural break.

DOI10.1016/S0165-1765(00)00213-5MaRDI QIDQ1978720zbMATH OpenOpenAlexWikidataFDO

Authors Junsoo Lee

Publication date 4 June 2000

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1765(00)00213-5

zbMATH Keywords

End pointStructural breakUnit root test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Review text

This paper shows that the spurious rejection problem illustrated by \textit{S. J. Leybourne} et al. [J. Econom. 87, 191--203 (1998; Zbl 0944.62083)] is restricted to a Dickey-Fuller type test, which is based on the conditional likelihood function discarding the first observation.

Recommendations

• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
• Spurious Rejections with Endogenous Break Unit Root Tests in the Presence of Outliers and Breaks
• Behaviour of Dickey-Fuller tests when there is a break under the unit root null hypothesis
• On the distribution of Dickey--Fuller unit root statistics when there is a break in the innovation variance
• The discontinuous trend unit root test when the break point is misspecified

Cites work

• Estimating the autocorrelated error model with trended data
• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null

Cited in

(4)

• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
• How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?
• Spurious Rejections with Endogenous Break Unit Root Tests in the Presence of Outliers and Breaks
• On the Use of the Flexible Fourier Form in Unit Root Tests, Endogenous Breaks, and Parameter Instability

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