Joint Detection of Structural Change and Nonstationarity in Autoregressions
AbstractIn this paper we develop a test of the joint null hypothesis of parameter stability and a unit root within an ADF style autoregressive specification whose entire parameter structure is potentially subject to a structural break at an unknown time period. The maintained underlying null model is a linear autoregression with a unit root, stationary regressors and a constant term. As a byproduct we also obtain the limiting behaviour of a related Wald statistic designed to solely test the null of parameter stability in an environment with a unit root. These distributions are free of nuisance parameters and easily tabulated. The finite sample properties of our tests are subsequently assessed through a series of simulations.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 29189.
Date of creation: Feb 2011
Date of revision:
Structural Breaks; Unit Roots; Nonlinear Dynamics;
Find related papers by JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-03-19 (All new papers)
- NEP-ECM-2011-03-19 (Econometrics)
- NEP-ETS-2011-03-19 (Econometric Time Series)
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