Size and power properties of structural break unit root tests

被引：182

作者：

Narayan, Paresh Kumar ^{[1
]}

Popp, Stephan ^{[2
]}

机构：

[1] Deakin Univ, Dept Accounting Finance & Econ, Melbourne, Vic 321, Australia

[2] WestLB AG, Global Risk Management & Control, Dusseldorf, Germany

来源：

APPLIED ECONOMICS | 2013年 / 45卷 / 06期

关键词：

unit root test; structural breaks; sample size; Monte Carlo; OIL-PRICE SHOCK; GREAT CRASH; INTERNATIONAL EVIDENCE; AGGREGATE OUTPUT; UNKNOWN TIME; HYPOTHESIS; COUNTRIES; TRENDS;

D O I：

10.1080/00036846.2011.610752

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this article, we compare the small sample size and power properties of a newly developed endogenous structural break unit root test of Narayan and Popp (NP, 2010) with the existing two break unit root tests, namely the Lumsdaine and Papell (LP, 1997) and the Lee and Strazicich (LS, 2003) tests. In contrast to the widely used LP and LS tests, the NP test chooses the break date by maximizing the significance of the break dummy coefficient. Using Monte Carlo simulations, we show that the NP test has better size and high power, and identifies the structural breaks accurately. Power and size comparisons of the NP test with the LP and LS tests reveal that the NP test is significantly superior.

引用

页码：721 / 728

页数：8

共 50 条

[1] Joint hypothesis specification for unit root tests with a structural break
Carrion-Silvestre, Josep Lluis
Sanso, Andreu
[J]. ECONOMETRICS JOURNAL, 2006, 9 (02): : 196 - 224
[2] Size and power properties of powerful unit root tests in the presence of variance breaks
Cook, S
[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2003, 317 (3-4) : 432 - 448
[3] Unit Root Tests of Structural Break with GARCH-error Process
Wang, Jingyong
Xue, Lida
[J]. MANAGEMENT, MANUFACTURING AND MATERIALS ENGINEERING, PTS 1 AND 2, 2012, 452-453 : 986 - +
[4] Comparative Study on Monte Carlo of Unit Root Tests with Structural Break
Wang, Jingyong
[J]. PROCEEDINGS OF INTERNATIONAL SYMPOSIUM ON STATISTICS AND MANAGEMENT SCIENCE 2010, 2010, : 387 - 391
[5] Covariate unit root tests with good size and power
Fossati, Sebastian
[J]. COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2012, 56 (11) : 3070 - 3079
[6] On the end-point issue in unit root tests in the presence of a structural break
Lee, J
[J]. ECONOMICS LETTERS, 2000, 68 (01) : 7 - 11
[7] Unit root tests with a break in innovation variance
Kim, TH
Leybourne, S
Newbold, P
[J]. JOURNAL OF ECONOMETRICS, 2002, 109 (02) : 365 - 387
[8] Convergence of fiscal policies in EMU: a unit-root tests analysis with structural break
Blot, C
Serranito, F
[J]. APPLIED ECONOMICS LETTERS, 2006, 13 (04) : 211 - 216
[9] The structure of tourist expenditure in Fiji: evidence from unit root structural break tests
Narayan, PK
[J]. APPLIED ECONOMICS, 2005, 37 (10) : 1157 - 1161
[10] Structural Break Unit-root Tests: An Empirical Study of Malaysian Equity Markets
Cheong, Chin Wen
Isa, Zaidi
[J]. SAINS MALAYSIANA, 2009, 38 (05): : 699 - 705

← 1 2 3 4 5 →