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A Note on the Asymptotic Distributions of Unit Root Tests in the Additive Outlier Model With Breaks

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  • Perron, Pierre
  • Vogelsang, Timothy J.

Abstract

This note discusses tests for a unit root allowing the possibility of a onetime change in the intercept and/or the slope of the trend function in the additive outlier model considered in Perron (1989). We discuss and correct an error in the stated asymptotic distributions of the tests in this case. We propose a simple modification of the procedure which yields statistics having the same asymptotic distributions as stated in Perron (1989). We also discuss the adequacy of the asymptotic approximations and various extensions to the case where the breakpoint is unknown with corresponding asymptotic critical values.

Suggested Citation

  • Perron, Pierre & Vogelsang, Timothy J., 1993. "A Note on the Asymptotic Distributions of Unit Root Tests in the Additive Outlier Model With Breaks," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 13(2), November.
    • Handle: RePEc:sbe:breart:v:13:y:1993:i:2:a:2981
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    References listed on IDEAS

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    1. Perron, Pierre, 1990. "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 153-162, April.
    2. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    3. Banerjee, Anindya & Lumsdaine, Robin L & Stock, James H, 1992. "Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 271-287, July.
    4. 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, vol. 10(4), pages 467-470, October.
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