A Nonlinear Unit Root Test in the Presence of an Unknown Break
نویسندگان
چکیده
منابع مشابه
Trend Break or Unit Root in GDP of Iran
It has been suggested that existing estimates of the long-run impact of a surprise move in income may have a substantial upward bias due to the presence of a trend break in 1970s (1350s) and 1980s (1360s) gross domestic product (contained oil) data of Iran. This article shows that the statistical evidence does not warrant abandoning the no-trend-break null hypothesis at the 5% significance leve...
متن کاملTesting for a unit root in the presence of a possible break in trend
We consider the issue of testing a time series for a unit root in the possible presence of a break in a linear deterministic trend at an unknown point in the series. We propose a new break fraction estimator which, where a break in trend occurs, is consistent for the true break fraction at rate Op(T). Unlike other available estimators, however, when there is no trend break our estimator converg...
متن کاملOn the end-point issue in unit root tests in the presence of a structural break
This paper shows that the spurious rejection problem illustrated by Leybourne et al. (1998) [Leybourne, S.J., Mills, T., Newbold, P., 1998. Spurious rejections by Dickey–Fuller tests in the presence of a break under the null. Journal of Econometrics 87, 191–203] is restricted to the DF type test, which is based on the conditional likelihood function discarding the first observation. 2000 Else...
متن کاملMinimum LM Unit Root Test with One Structural Break
In this paper, we propose a minimum LM unit root test that endogenously determines a structural break in intercept and trend. Critical values are provided, and size and power properties are compared to the endogenous one-break unit root test of Zivot and Andrews (1992). Nunes, Newbold, and Kuan (1997) and Lee and Strazicich (2001) previously demonstrated that the Zivot and Andrews test exhibits...
متن کاملA Nonlinear Panel Unit Root Test under Cross Section Dependence
We propose a nonlinear heterogeneous panel unit root test for testing the null hypothesis of unit-root processes against the alternative that allows a proportion of units to be generated by globally stationary ESTAR processes and a remaining non-zero proportion to be generated by unit root processes. The proposed test is simple to apply and accommodates cross section dependence. Monte Carlo sim...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2008
ISSN: 1556-5068
DOI: 10.2139/ssrn.1132782