Title of article
Level shifts, unit roots and misspecification of the breaking date
Author/Authors
Monta?és، نويسنده , , Antonio ، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1997
Pages
7
From page
7
To page
13
Abstract
This paper analyses the asymptoric behaviour of the Perron (1990) unit root tests in the presence of an erroneous location of the breaking date. It is analytically proved that these statistics converge to their correct distribution under the null hypothesis and diverge to −∞ to under the alternative.
Keywords
Breaking date misspecification , Unit root tests , Exogenous break
Journal title
Economics Letters
Serial Year
1997
Journal title
Economics Letters
Record number
434241
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