Selection of the break in the Perron-type tests

DOI10.1016/J.JECONOM.2004.09.003MaRDI QIDQ265103zbMATH OpenOpenAlexFDO

Authors Antonio Montañés, Irene Olloqui, Elena Calvo

Publication date 1 April 2016

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2004.09.003

zbMATH Keywords

Perron-type testsstructural breakstype of breakunit roots

Mathematics Subject Classification ID

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

Recommendations

• Misspecification of the breaking date in segmented trend variables: Effect on the unit root tests
• Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
• Level shifts, unit roots and misspecification of the breaking date
• The discontinuous trend unit root test when the break point is misspecified
• Unit root tests in the presence of an innovation variance break that has power against the mean break stationary alternative

Cites work

• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Estimating the dimension of a model
• Further evidence on breaking trend functions in macroeconomic variables
• scientific article; zbMATH DE number 1034049 (Why is no real title available?)
• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• Misspecification of the breaking date in segmented trend variables: Effect on the unit root tests
• Response surfaces estimates for the Dickey-Fuller unit root test with structural breaks
• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
• Testing for a unit root in variables with a double change in the mean
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

Cited in

(4)

• A general panel break test based on the self-normalization method
• Modelling structural breaks, long memory and stock market volatility: an overview
• Stationarity testing under nonlinear models. Some asymptotic results
• Spurious Rejections with Endogenous Break Unit Root Tests in the Presence of Outliers and Breaks

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