A note on the asymptotic distribution of a Perron-type innovational outlier unit root test with a break

被引：0

作者：

Mauro Costantini

Stephan Popp

机构：

[1] University of Vienna,Department of Economics

[2] University of Duisburg-Essen,Department of Statistics and Econometrics

来源：

Statistical Papers | 2011年 / 52卷

关键词：

Unit root tests; Structural break; Asymptotic distributions; 62E20; 62F05;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

This note provides the asymptotic distribution of a Perron-type innovational outlier unit root test developed by Popp (J Stat Comput Sim 78:1145–1161, 2008) in case of a shift in the intercept for non-trending data. In Popp (J Stat Comput Sim 78:1145–1161, 2008), only critical values for finite samples based on Monte Carlo techniques are tabulated. Using similar arguments as in Zivot and Andrews (J Bus Econ Stat 10:251–270, 1992), weak convergence is shown for the test statistics.

引用

页码：677 / 682

页数：5

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