The discontinuous trend unit root test when the break point is misspecified

DOI10.1016/S0378-4754(99)00021-XzbMath1052.62537MaRDI QIDQ1299887

Mitsuru Nakagawa, Kimio Morimune

Publication date: 1999

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

zbMATH Keywords

Unit root testAsymptotic distributionBreak point

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)

Cites Work

• Level shifts, unit roots and misspecification of the breaking date
• Dickey-Fuller, Lagrange Multiplier and Combined Tests for a Unit Root in Autoregressive Time Series
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

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