Empirical evidence on the robustness of the weighted symmetric unit root test
Recent research has shown the Dickey-Fuller (Econometrica, 49, pp. 1057-72, 1979) test to suffer severe size distortion in the presence of structural breaks under the unit root null hypothesis. In contrast, further theoretical results have suggested the weighted symmetric Dickey-Fuller test to be robust to such breaks. In this study, the empirical results of the seminal study of Leybourne et�al. (Journal of Econometrics, 87, pp. 191-203, 1998) are revisited to provide an empirical illustration of the robustness of the weighted symmetric Dickey-Fuller test to structural breaks.
Volume (Year): 10 (2003)
Issue (Month): 12 ()
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- Leybourne, Stephen J. & C. Mills, Terence & Newbold, Paul, 1998. "Spurious rejections by Dickey-Fuller tests in the presence of a break under the null," Journal of Econometrics, Elsevier, vol. 87(1), pages 191-203, August.
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- Kim, Tae-Hwan & Leybourne, Stephen & Newbold, Paul, 2002. "Unit root tests with a break in innovation variance," Journal of Econometrics, Elsevier, vol. 109(2), pages 365-387, August.
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