Structural breaks, unit roots and methods for removing the autocorrelation pattern

被引：6

作者：

Montañés, A ^{[1
]}

Reyes, M ^{[1
]}

机构：

[1] Fac Ciencias Economocas & Empresariales, Dept Anal Econ, Zaragoza 50005, Spain

来源：

STATISTICS & PROBABILITY LETTERS | 2000年 / 48卷 / 04期

关键词：

unit roots; Dickey-Fuller tests; Phillips-Perron tests; structural break;

D O I：

10.1016/S0167-7152(00)00023-7

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：

This paper examines the asymptotic and finite sample behaviour of the ADF and Phillips-Perron statistics under the presence of a break in the trend function. We prove that the break magnitude affects these two statistics in a similar way, drawing them closer the acceptance zone, the higher the break magnitude. By contrast, the influence of the lag truncation parameter does not have a similar effect on them, being very important for the ADF whilst negligible for the Phillips-Perron statistics. (C) 2000 Elsevier Science B.V. All rights reserved

引用

页码：401 / 409

页数：9

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