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Bounds, Breaks and Unit Root Tests

Author

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  • Josep Lluís Carrion-I-Silvestre
  • María Dolores Gadea

Abstract

type="main" xml:id="jtsa12140-abs-0001"> The paper addresses the unit root testing when the range of the time series is limited and considering the presence of multiple structural breaks. The structural breaks can affect the level and/or the boundaries of the time series. The paper proposes five unit root test statistics, whose limiting distribution is shown to depend on the number and position of the structural breaks. The performance of the statistics is investigated by means of Monte Carlo simulations.

Suggested Citation

  • Josep Lluís Carrion-I-Silvestre & María Dolores Gadea, 2016. "Bounds, Breaks and Unit Root Tests," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(2), pages 165-181, March.
    • Handle: RePEc:bla:jtsera:v:37:y:2016:i:2:p:165-181
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    References listed on IDEAS

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    Cited by:

    1. James E. Payne & James W. Saunoris & Saban Nazlioglu & Cagin Karul, 2023. "Stochastic convergence analysis of US state economic freedom sub‐components: Evidence from unit root tests for bounded processes," American Journal of Economics and Sociology, Wiley Blackwell, vol. 82(4), pages 319-348, July.
    2. James E. Payne & James W. Saunoris & Saban Nazlioglu & Cagin Karul, 2023. "The convergence dynamics of economic freedom across U.S. states," Southern Economic Journal, John Wiley & Sons, vol. 89(4), pages 1216-1241, April.
    3. Josep Lluís Carrion-i-Silvestre & María Dolores Gadea, 2024. "Detecting Multiple Level Shifts in Bounded Time Series," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(4), pages 1250-1263, October.
    4. Alanya-Beltran, Willy, 2022. "Unit roots in lower-bounded series with outliers," Economic Modelling, Elsevier, vol. 115(C).

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