Title of article
Selection of the break in the Perron-type tests
Author/Authors
Montaٌés، نويسنده , , Antonio and Olloqui، نويسنده , , Irene and Calvo، نويسنده , , Elena، نويسنده ,
Issue Information
دوفصلنامه با شماره پیاپی سال 2005
Pages
24
From page
41
To page
64
Abstract
This paper studies the behavior of the Perron-type tests under an erroneous determination of the type of break. Our theoretical results prove that this kind of error may induce the researcher to incorrectly infer the time properties of the variable being studied. These asymptotic results are also observed in finite samples, as confirmed by various Monte Carlo exercises.
Keywords
Unit roots , Structural breaks , Perron-type tests , Type of break
Journal title
Journal of Econometrics
Serial Year
2005
Journal title
Journal of Econometrics
Record number
1558803
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