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Estacionariedad en torno a un nivel con ruptura. Un estudio de simulación

  • PRESNO CASQUERO, Mª J.

    ()

    (Departamento de Economía Aplicada.Universidad de Oviedo.)

  • LÓPEZ MENÉNDEZ, A.J.

    ()

    (Departamento de Economía Aplicada.Universidad de Oviedo.)

La presencia de cambios estructurales en las series económicas puede conducir a conclusiones equivocadas en cuanto a su estacionariedad, hecho que aconseja el desarrollo de contrastes ampliados para contemplar la presencia de rupturas. En el caso de los tests de raíces unitarias (tipo ADF) este objetivo fue abordado por Perron (1989, 1990), mientras que para los contrastes de estacionariedad (tipo KPSS) una propuesta de modificación aparece en Presno y López (1998). En este trabajo abordamos el análisis comparativo de ambas metodologías utilizando procedimientos de Monte Carlo para el estudio de diferentes series generadas según distintos procesos ARIMA que presentan cambios en nivel. The effects of structural breaks on economic series have been widely studied, in order to avoid wrong conclusions related to the stationarity analysis. Thus Perron (1989, 1990) analysed the behaviour of the Dickey-Fuller test (ADF) in the presence of structural breaks, proposing a modified version of this test. For the case of the stationarity test (KPSS), a modified stationarity test has also been developed by Presno and López (1998) being the null hypothesis the presence of stationary fluctuations around a trend containing a structural break.In this work both kind of tests are considered in order to make a comparative study. Using Monte Carlo simulation a number of series are generated following ARIMA processes including a structural break.

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Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

Volume (Year): 18 (2001)
Issue (Month): (Agosto)
Pages: 189-208

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Handle: RePEc:lrk:eeaart:18_2_3
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  1. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-58, May.
  2. Perron, Pierre, 1997. "Further evidence on breaking trend functions in macroeconomic variables," Journal of Econometrics, Elsevier, vol. 80(2), pages 355-385, October.
  3. Lee, Junsoo, 1996. "On the power of stationarity tests using optimal bandwidth estimates," Economics Letters, Elsevier, vol. 51(2), pages 131-137, May.
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  6. Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
  7. Leybourne, S J & McCabe, B P M, 1994. "A Consistent Test for a Unit Root," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(2), pages 157-66, April.
  8. Schwert, G William, 1989. "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(2), pages 147-59, April.
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  10. DeJong, David N, et al, 1992. "Integration versus Trend Stationarity in Time Series," Econometrica, Econometric Society, vol. 60(2), pages 423-33, March.
  11. Peter C.B. Phillips & Victor Solo, 1989. "Asymptotics for Linear Processes," Cowles Foundation Discussion Papers 932, Cowles Foundation for Research in Economics, Yale University.
  12. Robin L. Lumsdaine & David H. Papell, 1997. "Multiple Trend Breaks And The Unit-Root Hypothesis," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 212-218, May.
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