Unit root tests in the presence of an innovation variance break that has power against the mean break stationary alternative
AbstractWe show that Perron's [Perron, P., 1990. Testing for a unit root in a time series with a changing mean. Journal of Business and Economic Statistics 8, 153-162] unit root test can be oversized when there is a break in the innovation variance. We propose a modified Perron test that maintains its size, and has power against the mean-break stationary alternative.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 79 (2009)
Issue (Month): 3 (February)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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"Testing for a Unit Root in a Time Series with a Changing Mean,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 8(2), pages 153-62, April.
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