Joint hypothesis specification for unit root tests with a structural break

JOSEP LLUIS CARRION-I-SlLVESTRE; ANDREU SANSO

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Joint hypothesis specification for unit root tests with a structural break

机译：具有结构断裂的单位根检验的联合假设规范

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Several tests based on a t-ratio have been proposed in the literature to decide the order of integration of a time series allowing for a structural break. However, another approach based on testing a joint hypothesis of unit root and the irrelevance of some nuisance parameters is also feasible. This paper proposes new unit root tests consistent with the presence of a structural break applying this second perspective. Our approach deals both with the case where the break is not allowed under the null hypothesis, and where it is allowed. Simulations investigate the performance of this proposal compared to the existing tests and show important gains in terms of power.

机译：文献中已经提出了几种基于t比率的测试来确定允许结构断裂的时间序列的积分顺序。但是，另一种基于检验单位根的联合假设和某些讨厌参数无关紧要的方法也是可行的。本文提出了新的单位根测试，它与使用第二种观点的结构性断裂的存在相一致。我们的方法既处理零假设下不允许中断的情况，也处理允许的情况。与现有测试相比，仿真研究了该提议的性能，并显示了在功率方面的重要收益。

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来源
《The econometrics journal》 |2006年第2期|p.196-224|共29页
作者
JOSEP LLUIS CARRION-I-SlLVESTRE; ANDREU SANSO;
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作者单位

Grup de Recerca AQR, Departament d'Econometria, Estadistica i Economia Espanyola, Universitat de Barcelona, Spain;

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原文格式 PDF
正文语种 eng
中图分类 f;
关键词
unit root tests; structural change; joint hypotheses; pseudo F-tests;

机译：单位根检验;结构变化;联合假设;伪F检验;

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7. Unit root testing against the alternative hypothesis of up to m structural breaks [O] . Kapetanios, George 2002

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Joint hypothesis specification for unit root tests with a structural break

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