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Response surfaces for the dickey-fuller unit root test with structural breaks

Author

Listed:
  • Josep Lluis Carrion Silvestre
  • Andreu Sanso
  • Manuel Artis Ortuno

    (Universitat de Barcelona)

Abstract

The lack of suitable critical values for the Dickey-Fuller integrability test in finite-samples can drive researchers to spurious conclusions when using asymptotic critical values. In this paper we estimate response surfaces for the Dickey-Fuller unit root test with structural breaks that allow to obtain aproximate critical values for whatever sample size and break date. The models that we have taken into account are those of Perron (1989), that assume the time break to be exogenous so that the integrability analysis is conditional on that date.

Suggested Citation

  • Josep Lluis Carrion Silvestre & Andreu Sanso & Manuel Artis Ortuno, 1998. "Response surfaces for the dickey-fuller unit root test with structural breaks," Working Papers in Economics 25, Universitat de Barcelona. Espai de Recerca en Economia.
  • Handle: RePEc:bar:bedcje:199825
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    Cited by:

    1. Montanes, Antonio & Olloqui, Irene, 1999. "Misspecification of the breaking date in segmented trend variables: effect on the unit root tests," Economics Letters, Elsevier, vol. 65(3), pages 301-307, December.

    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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