Innovational Outlier Unit Root Tests With an Endogenously Determined Break in Level

• Autores: David I. Harvey, Stephen Leybourne, Paul Newbold
• Localización: Oxford bulletin of economics and statistics, ISSN 0305-9049, Vol. 63, Nº. 5, 2001, págs. 559-575
• Idioma: inglés
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• Resumen

  • We show that a standard unit root test that permits an endogenously determined break in level can generate spurious rejections in practically interesting sample sizes when a large break occurs under the null hypothesis. This problem, which occurs for breaks of the innovational outlier type, can be corrected through a simple modification of the test procedure.