Unit root testing under a local break in trend

DOI10.1016/J.JECONOM.2011.10.006MaRDI QIDQ738141zbMATH OpenOpenAlexFDO

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)

Copyright license Creative Commons Attribution 4.0 International

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

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)

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

Cites work

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

Cited in

(13)

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

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