Exact distribution and critical values of a unit root test in the presence of change in variance
This paper, using the Imhof (1961) method, shows the method of evaluating numerically the exact distribution of a unit root test statistic when the error variance changes. Based on the method, the effect of the change in variance on the exact distribution is examined, and we tabulate numerically exact critical values when the sample size is small and moderate.
Volume (Year): 11 (2004)
Issue (Month): 14 ()
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- 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 153-162, April.
- Perron, P., 1989. "Testing For A Unit Root In A Time Series With A Changing Mean," Papers 347, Princeton, Department of Economics - Econometric Research Program.
- Hamori, Shigeyuki & Tokihisa, Akira, 1997. "Testing for a unit root in the presence of a variance shift1," Economics Letters, Elsevier, vol. 57(3), pages 245-253, December.
- Perron, Pierre & Vogelsang, Timothy J, 1992. "Testing for a Unit Root in a Time Series with a Changing Mean: Corrections and Extensions," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 467-470, October.
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