Nonparametric Unit Root Test and Structural Breaks

被引：2

作者：

Belaire-Franch, Jorge ^{[1
]}

Contreras, Dulce ^{[1
]}

机构：

[1] Univ Valencia, Valencia, Spain

来源：

JOURNAL OF TIME SERIES ECONOMETRICS | 2011年 / 3卷 / 02期

关键词：

Breitung's test; structural breaks;

D O I：

10.2202/1941-1928.1048

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：

It is a well known fact that stationarity and unit roots tests are seriously distorted, when the true data generating process is stationary around a broken trend. In this paper, the behaviour of Breitung's (J. Econom. (2002) 343-363) variance ratio test for unit roots is analyzed. It is shown that the test may be inconsistent against stationary alternatives with structural breaks. In addition, a new test procedure to account for structural breaks is proposed.

引用

页数：13

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