Unit root testing under a local break in trend

DOI10.1016/J.JECONOM.2011.10.006zbMATH Open1441.62726OpenAlexW2240493411MaRDI QIDQ738141FDOQ738141

Authors: David I. Harvey, Stephen Leybourne, A. M. Robert Taylor 

Publication date: 15 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.10.006

Recommendations

• Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics
• Testing for a unit root in the presence of a possible break in trend
• Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
• An infimum coefficient unit root test allowing for an unknown break in trend
• GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypotheses

zbMATH Keywords

unit root testadaptive critical valuesasymptotic local powerlocal trend breakunion of rejections

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• Trend Function Hypothesis Testing in the Presence of Serial Correlation
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Further evidence on breaking trend functions in macroeconomic variables
• Structural breaks with deterministic and stochastic trends
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Efficient Tests for an Autoregressive Unit Root
• Estimating deterministic trends with an integrated or stationary noise component
• SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
• Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
• Testing for a unit root in the presence of a possible break in trend
• GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypotheses
• A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
• GLS detrending, efficient unit root tests and structural change.
• A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component

Cited In (13)

• Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
• Testing for stationarity with a break
• Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
• Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending
• Testing for unit roots under multiple possible trend breaks and non-stationary volatility using bootstrap minimum Dickey-Fuller statistics
• Model-Selection-Based Detection of Unit Root Allowing for Various Trend-Break Types
• The discontinuous trend unit root test when the break point is misspecified
• Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics
• On trend breaks and initial condition in unit root testing
• Testing for a unit root in the presence of a possible break in trend
• An infimum coefficient unit root test allowing for an unknown break in trend
• Unit root testing with stationary covariates and a structural break in the trend function
• The power of unit root tests against nonlinear local alternatives

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