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Structural breaks, unit roots and methods for removing the autocorrelation pattern

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Author Info
Montañés, Antonio
Reyes, Marcelo

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Abstract

This paper examines the asymptotic and finite sample behaviour of the ADF and Phillips-Perron statistics under the presence of a break in the trend function. We prove that the break magnitude affects these two statistics in a similar way, drawing them closer the acceptance zone, the higher the break magnitude. By contrast, the influence of the lag truncation parameter does not have a similar effect on them, being very important for the ADF whilst negligible for the Phillips-Perron statistics.

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File URL: http://www.sciencedirect.com/science/article/B6V1D-40D62SG-C/2/14087e3152253c8a61095999d66f7d69
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Publisher Info
Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 48 (2000)
Issue (Month): 4 (July)
Pages: 401-409
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Handle: RePEc:eee:stapro:v:48:y:2000:i:4:p:401-409

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Related research
Keywords: Unit roots Dickey-Fuller tests Phillips-Perron tests Structural break;

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  1. Felipe M. Aparicio & Alvaro Escribano, 2003. "Cointegration Tests Based On Record Counting Statistics," Statistics and Econometrics Working Papers ws036615, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
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