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A Note On Busetti–Harvey Tests For Stationarity In Series With Structural Breaks

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  • DAVID I. HARVEY
  • TERENCE C. MILLS

Abstract

. In this note, we highlight a minor error in the asymptotic distribution of one of the Busetti and Harvey (2001) tests for stationarity in the presence of structural breaks, and provide corrected asymptotic critical values where relevant. In addition, we examine the extent to which finite sample critical values for the Busetti–Harvey tests are approximated by their asymptotic counterparts when the location of the break is determined endogenously.

Suggested Citation

  • David I. Harvey & Terence C. Mills, 2003. "A Note On Busetti–Harvey Tests For Stationarity In Series With Structural Breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(2), pages 159-164, March.
    • Handle: RePEc:bla:jtsera:v:24:y:2003:i:2:p:159-164
    DOI: 10.1111/1467-9892.00300
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    References listed on IDEAS

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    1. Fabio Busetti & Andrew Harvey, 2001. "Testing for the Presence of a Random Walk in Series with Structural Breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(2), pages 127-150, March.
    2. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
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    Cited by:

    1. Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
    2. Anton Skrobotov, 2013. "Local Structural Trend Break in Stationarity Testing," Working Papers 0074, Gaidar Institute for Economic Policy, revised 2013.
    3. Skrobotov Anton, 2013. "Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion," Journal of Time Series Econometrics, De Gruyter, vol. 6(1), pages 33-61, December.
    4. Su, Chi-Wei & Tsangyao, Chang & Chang, Hsu-Ling, 2011. "Purchasing power parity for fifteen Latin American countries: Stationary test with a Fourier function," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 839-845, October.
    5. Jerome Geyer‐Klingeberg & Andreas W. Rathgeber, 2021. "Determinants of the WTI‐Brent price spread revisited," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 736-757, May.
    6. Anton Skrobotov, 2012. "Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion - in Russian," Working Papers 0044, Gaidar Institute for Economic Policy, revised 2012.

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