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

DOI10.1081/SAC-200033390zbMATH Open1101.62365OpenAlexW2006463826MaRDI QIDQ3155648FDOQ3155648

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

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

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• 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
• Efficient Tests for an Autoregressive Unit Root
• Recursive mean adjustment for unit root tests
• 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.

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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