Nonlinearly testing for a unit root in the presence of a break in the mean
AbstractThis 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 678.
Date of creation: Aug 2004
Date of revision: Sep 2005
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; Dynamic Treatment Effect Models &bull Diffusion Processes
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-11-12 (All new papers)
- NEP-ECM-2006-11-12 (Econometrics)
- NEP-ETS-2006-11-12 (Econometric Time Series)
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