Title of article :
A new unit root test with two structural breaks in level and slope at unknown time
Author/Authors :
Paresh Kumar Narayan & Stephan Popp، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2010
Pages :
14
From page :
1425
To page :
1438
Abstract :
In this paper, we propose a new augmented Dickey–Fuller-type test for unit roots which accounts for two structural breaks. We consider two different specifications: (a) two breaks in the level of a trending data series and (b) two breaks in the level and slope of a trending data series. The breaks whose time of occurrence is assumed to be unknown are modeled as innovational outliers and thus take effect gradually. Using Monte Carlo simulations, we showthat our proposed test has correct size, stable power, and identifies the structural breaks accurately.
Keywords :
Unit root test , Multiple structural breaks , break date estimation , Monte Carlo simulations , US macroeconomic variables
Journal title :
JOURNAL OF APPLIED STATISTICS
Serial Year :
2010
Journal title :
JOURNAL OF APPLIED STATISTICS
Record number :
712469
Link To Document :
بازگشت