Tests for a Break in Level when the Order of Integration is Unknown

• Autores: David I. Harvey, Stephen Leybourne, Paul Newbold
• Localización: Oxford bulletin of economics and statistics, ISSN 0305-9049, Vol. 66, Nº. 1, 2004, págs. 133-146
• Idioma: inglés
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• Resumen

  • In this paper, we consider tests for a break in the level of a series at an unknown point in time. It is often the case that uncertainty exists concerning the order of integration of the series; consequently, we focus on tests that are applicable when the order of integration is not known. The size and power of existing tests are analysed, and a modification to one of the established sets of tests is proposed which offers improved performance in certain circumstances.