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Nonlinearly testing for a unit root in the presence of a break in the mean

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Author Info
Gluschenko, Konstantin

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Abstract

This paper deals with testing a time series with a structural break in its mean for a unit root when the break date is known. A nonlinear (with respect to coefficients) test equation is used, providing asymptotically efficient estimates. Finite-sample and quasi-asymptotic empirical distributions of the unit root test statistics are estimated, comparing them with those associated with the Perron-type equations. Asymptotic distributions of the nonlinear test statistics are found to be the Dickey-Fuller distributions. The nonlinear test proves to have more power than the test based on the linear model.

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File URL: http://mpra.ub.uni-muenchen.de/678/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 678.

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Date of creation: Aug 2004
Date of revision: Sep 2005
Handle: RePEc:pra:mprapa:678

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Related research
Keywords: structural break; nonlinear regression; nonstandard distribution;

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Econometric and Statistical Methods; Specific Distributions
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing

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References listed on IDEAS
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  1. Ulrich K. M¸ller & Graham Elliott, 2003. "Tests for Unit Roots and the Initial Condition," Econometrica, Econometric Society, vol. 71(4), pages 1269-1286, 07. [Downloadable!] (restricted)
  2. M. Lanne & H. Lütkepohl & P. Saikkonen, . "Comparison of Unit Root Tests for Time Series with Level Shifts," Sonderforschungsbereich 373 1999-88, Humboldt Universitaet Berlin.
  3. 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. [Downloadable!] (restricted)
    Other versions:
  4. Alan Bartley, William & Lee, Junsoo & Strazicich, Mark C., 2001. "Testing the null of cointegration in the presence of a structural break," Economics Letters, Elsevier, vol. 73(3), pages 315-323, December. [Downloadable!] (restricted)
  5. MacKinnon, James G, 1996. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(6), pages 601-18, Nov.-Dec.. [Downloadable!] (restricted)
    Other versions:
  6. Evans, G B A & Savin, N E, 1981. "Testing for Unit Roots: 1," Econometrica, Econometric Society, vol. 49(3), pages 753-79, May. [Downloadable!] (restricted)
  7. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March. [Downloadable!] (restricted)
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  8. Rappoport, Peter & Reichlin, Lucrezia, 1989. "Segmented Trends and Non-stationary Time Series," Economic Journal, Royal Economic Society, vol. 99(395), pages 168-77, Supplemen. [Downloadable!] (restricted)
  9. Hansen, Bruce E, 1997. "Approximate Asymptotic P Values for Structural-Change Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 60-67, January.
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  10. Perron, Pierre & Vogelsang, Timothy J, 1992. "Nonstationarity and Level Shifts with an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 301-20, July.
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  11. Newey, Whitney K & West, Kenneth D, 1994. "Automatic Lag Selection in Covariance Matrix Estimation," Review of Economic Studies, Blackwell Publishing, vol. 61(4), pages 631-53, October. [Downloadable!] (restricted)
    Other versions:
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