Spurious Rejections with Endogenous Break Unit Root Tests in the Presence of Outliers and Breaks

DOI10.1080/03610910902747787zbMATH Open1161.62056OpenAlexW2167877324MaRDI QIDQ3625367FDOQ3625367

Authors: Olivier Darné 

Publication date: 12 May 2009

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

Full work available at URL: https://doi.org/10.1080/03610910902747787

Recommendations

• scientific article; zbMATH DE number 5274712
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• New innovational outlier unit root test with a break at an unknown time
• Unit root testing with stationary covariates and a structural break in the trend function
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• A note on the asymptotic distribution of a Perron-type innovational outlier unit root test with a break

zbMATH Keywords

tablesstructural breakadditive outlierendogenous break unit root test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Cites Work

• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES*
• Testing for a unit root in time series regression
• Unit root tests for time series with outliers
• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
• Further evidence on breaking trend functions in macroeconomic variables
• Selection of the break in the Perron-type tests
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Efficient Tests for an Autoregressive Unit Root
• Two Simple Procedures for Testing for a Unit Root When There are Additive Outliers
• Misspecification tests, unit roots and level shifts
• Level shifts, unit roots and misspecification of the breaking date
• Behavior of Dickey-Fuller \(t\)-tests when there is a break under the alternative hypothesis
• GLS detrending, efficient unit root tests and structural change.
• The effects of outliers on two nonlinearity tests

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