New innovational outlier unit root test with a break at an unknown time

DOI10.1080/00949650701411429MaRDI QIDQ3615034zbMATH OpenOpenAlexFDO

Authors Stephan Popp

Publication date 17 March 2009

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949650701411429

zbMATH Keywords

component representationendogenous break date estimationinnovational outlier modelsspurious rejectionsstructural breakunit root tests

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Recommendations

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Cites work

• Further evidence on breaking trend functions in macroeconomic variables
• scientific article; zbMATH DE number 47911 (Why is no real title available?)
• Response surfaces estimates for the Dickey-Fuller unit root test with structural breaks
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

Cited in

(8)

• A simple testing procedure for unit root and model specification
• Bootstrap innovational outlier unit root tests in dependent panels
• Spurious Rejections with Endogenous Break Unit Root Tests in the Presence of Outliers and Breaks
• On the asymptotic distribution of a simple unit root test for trending and breaking series
• A simple unit root testing methodology that does not require knowledge regarding the presence of a break
• A new unit root test with two structural breaks in level and slope at unknown time
• scientific article; zbMATH DE number 5274712 (Why is no real title available?)
• A note on the asymptotic distribution of a Perron-type innovational outlier unit root test with a break

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