On the asymptotic distribution of a simple unit root test for trending and breaking series

被引：3
|
作者：
Costantini, Mauro [2 ]
Sen, Amit [1 ]
机构：
[1] Xavier Univ, Dept Econ, Cincinnati, OH 45207 USA
[2] Brunel Univ, Dept Econ & Finance, Uxbridge UB8 3PH, Middx, England
来源：
JOURNAL OF STATISTICAL PLANNING AND INFERENCE | 2012年 / 142卷 / 07期
关键词：
Unit root; Trend break; Break-date; OIL-PRICE SHOCK; GREAT CRASH;
D O I：
10.1016/j.jspi.2012.02.036
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, we derive the asymptotic distribution of Popp's (2008) innovational outlier unit root test for trending series with a break The results of Zivot and Andrews (1992) are applied to provide the limiting results of these new test statistics. We tabulate their asymptotic and finite sample critical values, and illustrate the use of the new statistics with an application to the unemployment rate series for 23 OECD countries. (C) 2012 Elsevier B.V. All rights reserved.
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页码：1690 / 1697
页数：8
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