Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time
The authors consider unit root tests that allow a shift in trend at an unknown time. They focus on the additive outlier approach but also give results for the innovational outlier approach. Various methods of choosing the break date are considered. New limiting distributions are derived, including the case where a shift in trend occurs under the unit root null hypothesis. Limiting distributions are invariant to mean shifts but not to slope shifts. Simulations are used to assess finite sample size and power. The authors focus on the effects of a break under the null and the choice of break date. Copyright 1998 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
(This abstract was borrowed from another version of this item.)
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||1994|
|Date of revision:|
|Contact details of provider:|| Postal: C.P. 6128, Succ. centre-ville, Montréal (PQ) H3C 3J7|
Phone: (514) 343-6557
Fax: (514) 343-7221
Web page: http://www.cireq.umontreal.ca
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:mtl:montec:9422. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sharon BREWER)
If references are entirely missing, you can add them using this form.