On Trend Breaks and Initial Condition in Unit Root Testing

被引：0
|
作者：
Skrobotov, Anton [1 ]
机构：
[1] Russian Presidential Acad Natl Econ & Publ Adm, Inst Appl Econ Studies, Off 2103,Build 9,82 Vernadsky Pr, Moscow 119571, Russia
来源：
JOURNAL OF TIME SERIES ECONOMETRICS | 2018年 / 10卷 / 01期
关键词：
unit root test; infimum Dickey-Fuller tests; local trend break; asymptotic local power; union of rejection; pre-testing;
D O I：
10.1515/jtse-2016-0014
中图分类号：
O1 [数学]; C [社会科学总论];
学科分类号：
03 ; 0303 ; 0701 ; 070101 ;
摘要：
Recent approaches in unit root testing have taken into account the influences of initial conditions and data trend breaks via pre-testing and union of rejection testing strategies. This paper reviews existing methods, extends the methods of (Harvey, D. I., S. J. Leybourne, and A. M. R. Taylor. 2012b. "Unit Root Testing under a Local Break in Trend." Journal of Econometrics 167: 140-167), and integrates these techniques to create a comprehensive testing strategy. Even when presented with nuisance parameters such as initial conditions and data breaks, this new strategy holds promising asymptotic and finite sample properties.
引用
收藏
页数：14
相关论文
共 50 条
  • [1] Testing for a unit root in time series with trend breaks
    Lee, J
    JOURNAL OF MACROECONOMICS, 1996, 18 (03) : 503 - 519
  • [2] UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
    Harvey, David I.
    Leybourne, Stephen J.
    Taylor, A. M. Robert
    ECONOMETRIC THEORY, 2009, 25 (03) : 587 - 636
  • [3] Residual-based block bootstrap unit root testing in the presence of trend breaks
    Ioannidis, EE
    ECONOMETRICS JOURNAL, 2005, 8 (03): : 323 - 351
  • [4] Multiple trend breaks and the unit-root hypothesis
    Lumsdaine, RL
    Papell, DH
    REVIEW OF ECONOMICS AND STATISTICS, 1997, 79 (02) : 212 - 218
  • [5] Testing for unit roots in the presence of uncertainty over both the trend and initial condition
    Harvey, David I.
    Leybourne, Stephen J.
    Taylor, A. M. Robert
    JOURNAL OF ECONOMETRICS, 2012, 169 (02) : 188 - 195
  • [6] TESTING FOR A UNIT-ROOT IN THE PRESENCE OF A MAINTAINED TREND
    OULIARIS, S
    PARK, JY
    PHILLIPS, PCB
    ADVANCES IN ECONOMETRICS AND MODELLING, 1989, 15 : 7 - 28
  • [7] Unit root testing under a local break in trend
    Harvey, David I.
    Leybourne, Stephen J.
    Taylor, A. M. Robert
    JOURNAL OF ECONOMETRICS, 2012, 167 (01) : 140 - 167
  • [8] Testing for a Deterministic Trend When There is Evidence of Unit Root
    Ventosa-Santaularia, Daniel
    Gomez-Zaldivar, Manuel
    JOURNAL OF TIME SERIES ECONOMETRICS, 2010, 2 (02)
  • [9] TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND
    Harris, David
    Harvey, David I.
    Leybourne, Stephen J.
    Taylor, A. M. Robert
    ECONOMETRIC THEORY, 2009, 25 (06) : 1545 - 1588
  • [10] Power of a unit-root test and the initial condition
    Harvey, David I.
    Leybourne, Stephen J.
    JOURNAL OF TIME SERIES ANALYSIS, 2006, 27 (05) : 739 - 752
12345