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

DOI10.1080/03610910902747787MaRDI QIDQ3625367zbMATH OpenOpenAlexFDO

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

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)

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• A note on the asymptotic distribution of a Perron-type innovational outlier unit root test with a break

Cites work

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

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