The Disappointing Properties of GLS-Based Unit Root Tests in the Presence of Structural Breaks

DOI10.1081/SAC-200033390MaRDI QIDQ3155648zbMATH OpenOpenAlexFDO

Authors Steven Cook, Neil Manning

Publication date 17 January 2005

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/sac-200033390

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Recommendations

• 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
• GLS detrending and unit root testing
• GLS-based unit root tests for bounded processes
• Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics

Cites work

• scientific article; zbMATH DE number 897115 (Why is no real title available?)
• ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS
• Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
• Correcting size distortion of the Dickey--Fuller test via recursive mean adjustment.
• Efficient Tests for an Autoregressive Unit Root
• Recursive mean adjustment for unit root tests
• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

Cited in

(6)

• GLS-based unit root tests for bounded processes
• GLS detrending and unit root testing
• GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypotheses
• On the Performance of Popular Unit-Root Tests Against Various Nonlinear Dynamic Models: A Simulation Study
• GLS detrending, efficient unit root tests and structural change.
• GLS-detrending and regime-wise stationarity testing in small samples

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