New innovational outlier unit root test with a break at an unknown time

DOI10.1080/00949650701411429zbMath1169.62078OpenAlexW2055512538MaRDI QIDQ3615034

Stephan Popp

Publication date: 17 March 2009

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650701411429

zbMATH Keywords

unit root testsstructural breakcomponent representationspurious rejectionsendogenous break date estimationinnovational outlier models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)

Related Items (6)

A simple testing procedure for unit root and model specification ⋮ A simple unit root testing methodology that does not require knowledge regarding the presence of a break ⋮ On the asymptotic distribution of a simple unit root test for trending and breaking series ⋮ A note on the asymptotic distribution of a Perron-type innovational outlier unit root test with a break ⋮ A new unit root test with two structural breaks in level and slope at unknown time ⋮ Bootstrap innovational outlier unit root tests in dependent panels

Cites Work

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• Response surfaces estimates for the Dickey-Fuller unit root test with structural breaks
• Further evidence on breaking trend functions in macroeconomic variables
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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