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A simple modification of the Busetti-Harvey stationarity tests with structural breaks at unknown time

Author

Listed:
  • Anton Skrobotov

    (Gaidar Institute for Economic Policy)

Abstract

In this paper a modification of the Busetti and Harvey (2001) test with structural break at unknown time is proposed. As the stationarity test with a super-consistent break date estimator is effective under large breaks and the infimum-test is effective under small breaks, although it has serious size distortions under large breaks, we propose a simple decision rule based on pre-testing for the presence of a break. The proposed modification shows good size properties. Also, an extension for the case of multiple structural breaks is proposed

Suggested Citation

  • Anton Skrobotov, 2014. "A simple modification of the Busetti-Harvey stationarity tests with structural breaks at unknown time," Working Papers 0102, Gaidar Institute for Economic Policy, revised 2014.
    • Handle: RePEc:gai:wpaper:0102
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    KPSS test; in mum test; size distortion; power; pre-testing; structural breaks;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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