Innovational Outlier Unit Root Tests with an Endogenously Determined Break in Level
AbstractWe show that a standard unit root test that permits an endogenously determined break in level can generate spurious rejections in practically interesting sample sizes when a large break occurs under the null hypothesis. This problem, which occurs for breaks of the innovational outlier type, can be corrected through a simple modification of the test procedure. Copyright 2001 by Blackwell Publishing Ltd
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.
Volume (Year): 63 (2001)
Issue (Month): 5 (December)
Contact details of provider:
Postal: Manor Rd. Building, Oxford, OX1 3UQ
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0305-9049
More information through EDIRC
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Harvey, David I. & Leybourne, Stephen J. & Newbold, Paul, 2002. "Seasonal unit root tests with seasonal mean shifts," Economics Letters, Elsevier, Elsevier, vol. 76(2), pages 295-302, July.
- Popp, Stephan, 2007. "Modified seasonal unit root test with seasonal level shifts at unknown time," Economics Letters, Elsevier, Elsevier, vol. 97(2), pages 111-117, November.
- Luis C. Nunes, 2004. "LM-Type tests for a Unit Root Allowing for a Break in Trend," Econometric Society 2004 Australasian Meetings, Econometric Society 190, Econometric Society.
- Junsoo Lee & Mark C. Strazicich, 2004.
"Minimum LM Unit Root Test with One Structural Break,"
Working Papers, Department of Economics, Appalachian State University
04-17, Department of Economics, Appalachian State University.
- Junsoo Lee & Mark C. Strazicich, 2013. "Minimum LM unit root test with one structural break," Economics Bulletin, AccessEcon, vol. 33(4), pages 2483-2492.
- Tom Doan, . "LSUNIT: RATS procedure to implement Lee-Strazicich unit root tests with one or more structural breaks," Statistical Software Components RTS00112, Boston College Department of Economics.
- Charles, Amélie & Darné, Olivier, 2012. "Trends and random walks in macroeconomic time series: A reappraisal," Journal of Macroeconomics, Elsevier, Elsevier, vol. 34(1), pages 167-180.
- Paresh Kumar Narayan & Stephan Popp, 2013.
"Size and power properties of structural break unit root tests,"
Applied Economics, Taylor & Francis Journals,
Taylor & Francis Journals, vol. 45(6), pages 721-728, February.
- Paresh Kumar Narayan & Stephan Popp, 2011. "Size and power properties of structural break unit root tests," Financial Econometics Series, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance 2011_07, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
- Paresh Kumar Narayan & Stephan Popp, 2010.
"A new unit root test with two structural breaks in level and slope at unknown time,"
Journal of Applied Statistics, Taylor & Francis Journals,
Taylor & Francis Journals, vol. 37(9), pages 1425-1438.
- Paresh Kumar Narayan & Stephan Popp, 2009. "A New Unit Root Test with Two Structural Breaks in Level and Slope at Unknown Time," Economics Series 2009_11, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
- Kojo Menyah & Yemane Wolde-Rufael, 2012. "Wagner'S Law Revisited: A Note From South Africa," South African Journal of Economics, Economic Society of South Africa, Economic Society of South Africa, vol. 80(2), pages 200-208, 06.
- Popp, Stephan, 2007. "Identification of the true break date in innovational outlier unit root tests," IBES DiskussionsbeitrÃ¤ge 152, University of Duisburg-Essen, Faculty for Economics and Business Administration.
- Stephan Popp, 2008. "A Nonlinear Unit Root Test in the Presence of an Unknown Break," Ruhr Economic Papers, Rheinisch-WestfÃ¤lisches Institut fÃ¼r Wirtschaftsforschung, Ruhr-UniversitÃ¤t Bochum, UniversitÃ¤t Dortmund, UniversitÃ¤t Duisburg-Essen 0045, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
- Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, Elsevier, vol. 129(1-2), pages 1-34.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.