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A Nonlinear Unit Root Test in the Presence of an Unknown Break

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Author Info
Stephan Popp ()
Abstract

The Perron test is the most commonly applied procedure to test for a unit root in the presence of a structural break of unknown timing in the trend function. Deriving the Perron-type test regression from an unobserved component model, it is shown that the test regression in fact is nonlinear in coefficient. Taking account of the nonlinearity leads to a test with properties that are exclusively assigned to Schmidt-Phillips LM-type unit root tests.

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Publisher Info
Paper provided by Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen in its series Ruhr Economic Papers with number 0045.

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Length: 26 pages
Date of creation: May 2008
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Handle: RePEc:rwi:repape:0045

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Related research
Keywords: Unit root tests nonlinear regression structural breaks innovational outliers

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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Kyung-So Im & Junsoo Lee & Margie Tieslau, 2005. "Panel LM Unit-root Tests with Level Shifts," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(3), pages 393-419, 06. [Downloadable!] (restricted)
  2. Vogelsang, Timothy J & Perron, Pierre, 1998. "Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 1073-1100, November.
    Other versions:
  3. Wojciech W. Charemza & Daniela Hristova & Peter Burridge, 2005. "Is inflation stationary?," Applied Economics, Taylor and Francis Journals, vol. 37(8), pages 901-903, May. [Downloadable!] (restricted)
  4. Philip Hans Franses & Marius Ooms & Charles S. Bos, 1999. "Long memory and level shifts: Re-analyzing inflation rates," Empirical Economics, Springer, vol. 24(3), pages 427-449. [Downloadable!] (restricted)
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  5. Culver, Sarah E & Papell, David H, 1997. "Is There a Unit Root in the Inflation Rate? Evidence from Sequential Break and Panel Data Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(4), pages 435-44, July-Aug.. [Downloadable!]
  6. 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 153-62, April.
    Other versions:
  7. Harvey, David I & Leybourne, Stephen J & Newbold, Paul, 2001. " Innovational Outlier Unit Root Tests with an Endogenously Determined Break in Level," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 63(5), pages 559-75, December. [Downloadable!] (restricted)
  8. Lee, Hsiu-Yun & Wu, Jyh-Lin, 2001. "Mean Reversion of Inflation Rates: Evidence from 13 OECD Countries," Journal of Macroeconomics, Elsevier, vol. 23(3), pages 477-487, July. [Downloadable!] (restricted)
  9. Lee, Junsoo & Strazicich, Mark C, 2001. " Break Point Estimation and Spurious Rejections with Endogenous Unit Root Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 63(5), pages 535-58, December. [Downloadable!] (restricted)
  10. Markku Lanne & Helmut Lutkepohl & Pentti Saikkonen, 2003. "Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(1), pages 91-115, February. [Downloadable!] (restricted)
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  11. Lee, Junsoo & Amsler, Christine, 1997. "A joint test for a unit root and common factor restrictions in the presence of a structural break," Structural Change and Economic Dynamics, Elsevier, vol. 8(2), pages 221-232, June. [Downloadable!] (restricted)
  12. Chou, Win Lin, 2007. "Performance of LM-type unit root tests with trend break: A bootstrap approach," Economics Letters, Elsevier, vol. 94(1), pages 76-82, January. [Downloadable!] (restricted)
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This page was last updated on 2008-7-16.

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