Advanced Search
MyIDEAS: Login to save this article or follow this journal

Estacionariedad en torno a un nivel con ruptura. Un estudio de simulación

Contents:

Author Info

  • PRESNO CASQUERO, Mª J.

    ()
    (Departamento de Economía Aplicada.Universidad de Oviedo.)

  • LÓPEZ MENÉNDEZ, A.J.

    ()
    (Departamento de Economía Aplicada.Universidad de Oviedo.)

Abstract

La presencia de cambios estructurales en las series económicas puede conducir a conclusiones equivocadas en cuanto a su estacionariedad, hecho que aconseja el desarrollo de contrastes ampliados para contemplar la presencia de rupturas. En el caso de los tests de raíces unitarias (tipo ADF) este objetivo fue abordado por Perron (1989, 1990), mientras que para los contrastes de estacionariedad (tipo KPSS) una propuesta de modificación aparece en Presno y López (1998). En este trabajo abordamos el análisis comparativo de ambas metodologías utilizando procedimientos de Monte Carlo para el estudio de diferentes series generadas según distintos procesos ARIMA que presentan cambios en nivel. The effects of structural breaks on economic series have been widely studied, in order to avoid wrong conclusions related to the stationarity analysis. Thus Perron (1989, 1990) analysed the behaviour of the Dickey-Fuller test (ADF) in the presence of structural breaks, proposing a modified version of this test. For the case of the stationarity test (KPSS), a modified stationarity test has also been developed by Presno and López (1998) being the null hypothesis the presence of stationary fluctuations around a trend containing a structural break.In this work both kind of tests are considered in order to make a comparative study. Using Monte Carlo simulation a number of series are generated following ARIMA processes including a structural break.

Download Info

If 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.
File URL: http://www.revista-eea.net
Download Restriction: Access to full text is restricted to subscribers.

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 Info

Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

Volume (Year): 18 (2001)
Issue (Month): (Agosto)
Pages: 189-208

as in new window
Handle: RePEc:lrk:eeaart:18_2_3

Contact details of provider:
Postal: Beatriz Rodríguez Prado. Facultad de CC.EE. y EE. Avda. Valle del Esgueva. Valladolid 47011 SPAIN
Phone: (34) 983 423320
Fax: (34) 983 184568
Web page: http://www.revista-eea.net
More information through EDIRC

Order Information:
Email:
Web: http://www.revista-eea.net

Related research

Keywords: ADF; KPSS; breaks; Monte Carlo simulation; critical values.;

Find related papers by JEL classification:

References

References listed on IDEAS
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.:
as in new window
  1. Kenneth D. West & Whitney K. Newey, 1995. "Automatic Lag Selection in Covariance Matrix Estimation," NBER Technical Working Papers 0144, National Bureau of Economic Research, Inc.
  2. Perron, P., 1989. "Testing For A Unit Root In A Time Series With A Changing Mean," Papers, Princeton, Department of Economics - Econometric Research Program 347, Princeton, Department of Economics - Econometric Research Program.
  3. G. William Schwert, 1988. "Tests For Unit Roots: A Monte Carlo Investigation," NBER Technical Working Papers 0073, National Bureau of Economic Research, Inc.
  4. DeJong, David N, et al, 1992. "Integration versus Trend Stationarity in Time Series," Econometrica, Econometric Society, Econometric Society, vol. 60(2), pages 423-33, March.
  5. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, Econometric Society, vol. 59(3), pages 817-58, May.
  6. Leybourne, S J & McCabe, B P M, 1994. "A Consistent Test for a Unit Root," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 12(2), pages 157-66, April.
  7. Lawrence J. Christiano, 1988. "Searching For a Break in GNP," NBER Working Papers 2695, National Bureau of Economic Research, Inc.
  8. Perron, P., 1990. "Further Evidence On Breaking Trend Functions In Macroeconomics Variables," Papers, Princeton, Department of Economics - Econometric Research Program 350, Princeton, Department of Economics - Econometric Research Program.
  9. Robin L. Lumsdaine & David H. Papell, 1997. "Multiple Trend Breaks And The Unit-Root Hypothesis," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 212-218, May.
  10. Perron, Pierre & Vogelsang, Timothy J, 1992. "Testing for a Unit Root in a Time Series with a Changing Mean: Corrections and Extensions," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 10(4), pages 467-70, October.
  11. Peter C.B. Phillips & Victor Solo, 1989. "Asymptotics for Linear Processes," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 932, Cowles Foundation for Research in Economics, Yale University.
  12. Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
  13. Lee, Junsoo, 1996. "On the power of stationarity tests using optimal bandwidth estimates," Economics Letters, Elsevier, Elsevier, vol. 51(2), pages 131-137, May.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:lrk:eeaart:18_2_3. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Beatriz Rodríguez Prado).

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.