On the finite-sample size distortion of smooth transition unit root tests
AbstractThe finite-sample size properties of smooth transition unit root tests are examined when applied to unit root processes subject to breaks in either level or drift. In contrast to the weighted symmetric and recursively mean-adjusted unit root tests which have been shown to be robust in these circumstances, it is found that the empirical sizes of smooth transition tests are dependent upon the form, location and magnitude of the break imposed. It is concluded that while smooth transition unit root tests are capable of capturing breaks under an alternative hypothesis of stationarity, spurious rejection can occur when breaks occur under the null.
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.
Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 70 (2004)
Issue (Month): 3 (December)
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Cook, Steven, 2002. "Correcting size distortion of the Dickey-Fuller test via recursive mean adjustment," Statistics & Probability Letters, Elsevier, Elsevier, vol. 60(1), pages 75-79, November.
- Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, Elsevier, vol. 10(2), pages 139-162.
- Stephen J. Leybourne And Paul Newbold, 2000. "Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 3(1), pages 1-15.
- Eric Zivot & Donald W.K. Andrews, 1990.
"Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis,"
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
944, Cowles Foundation for Research in Economics, Yale University.
- Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 20(1), pages 25-44, January.
- Zivot, Eric & Andrews, Donald W K, 1992. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 10(3), pages 251-70, July.
- Perron, Pierre, 1989.
"The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis,"
Econometrica, Econometric Society,
Econometric Society, vol. 57(6), pages 1361-1401, November.
- Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers, Princeton, Department of Economics - Econometric Research Program 338, Princeton, Department of Economics - Econometric Research Program.
- Leybourne, Stephen J. & C. Mills, Terence & Newbold, Paul, 1998. "Spurious rejections by Dickey-Fuller tests in the presence of a break under the null," Journal of Econometrics, Elsevier, Elsevier, vol. 87(1), pages 191-203, August.
- P. S. Sephton, 2010. "Unit roots and purchasing power parity: another kick at the can," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 42(27), pages 3439-3453.
- Vougas, Dimitrios V., 2006. "On unit root testing with smooth transitions," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 51(2), pages 797-800, November.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.