The Impact Of Misdiagnosing A Structural Break On Standard Unit Root Tests: Monte Carlo Results For Small Sample Size And Power
نویسندگان
چکیده
منابع مشابه
Unit Root Tests for Time Series with a Structural Break When the Break Point Is Known
Unit root tests for time series with level shifts are considered. The level shift is assumed to occur at a known time point. In contrast to some other proposals the level shift is modeled as part of the intercept term of the stationary component of the data generation process which is separated from the unit root component. In this framework simple shift functions result in a smooth transition ...
متن کاملThe Effect of Data Transformation on Common Cycle, Cointegration, and Unit Root Tests: Monte Carlo Results and a Simple Test∗
In the conduct of empirical macroeconomic research, unit root, cointegration, common cycle, and related tests statistics are often constructed using logged data, even though there is often no clear reason, at least from an empirical perspective, why logs should be used rather than levels. Unfortunately, it is also the case that standard data transformation tests, such as those based on the Box-...
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 کاملSize and power of two recent unit root tests that allow for structural breaks
This paper examines the properties of the two recent structural break unit root tests developed in Harvey, Leybourne and Taylor (2013) and Narayan and Popp (2010). The properties are investigated by Monte Carlo simulations in an environment where two trend breaks of small to large magnitudes are present. We find that the Harvey, Leybourne and Taylor (2013) test has superior size and power prope...
متن کاملPower comparison of non-parametric tests: Small-sample properties from Monte Carlo experiments*
Non-parametric tests that deal with two samples include scores tests (such as the Wilcoxon rank sum test, normal scores test, log istic scores test, Cauchy scores test, etc.) and Fisher’s randomization test. B ecause the non-parametric tests generally require a large amount of computational work, there are few studies on small-sample properties, although asymptotic properties with regard to var...
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: Studies in Economics and Econometrics
سال: 2003
ISSN: 0379-6205,2693-5198
DOI: 10.1080/10800379.2003.12106342