Bounds, Breaks and Unit Root Tests

descriptionPublicationkeyboard_double_arrow_right Article 08 Jun 2015 Spain English Publisher:WileyJournal:Journal of Time Series Analysis, volume 37, pages 165-181 (issn: 0143-9782, eissn: 1467-9892,

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Authors: Carrión i Silvestre, Josep Lluís; Gadea Rivas, María Dolores;

doi: 10.1111/jtsa.12140

handle: 2445/104562

Bounds, Breaks and Unit Root Tests

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Abstract

The paper addresses the unit root testing when the range of the time series is limited and considering the presence of multiple structural breaks. The structural breaks can affect the level and/or the boundaries of the time series. The paper proposes five unit root test statistics, whose limiting distribution is shown to depend on the number and position of the structural breaks. The performance of the statistics is investigated by means of Monte Carlo simulations.

Country

Spain

Related Organizations

University of Zaragoza
Spain
University of Barcelona
Spain

Keywords

Integral operators, unit root, Operadors integrals, Non-Markovian processes: hypothesis testing, regulated Brownian motion, Anàlisi de sèries temporals, limited time series, Time series, auto-correlation, regression, etc. in statistics (GARCH), Funcions analítiques, multiple structural breaks, Time-series analysis, Anàlisi de regressió, Analytic functions, Econometrics, Regression analysis, Asymptotic properties of parametric estimators, Econometria

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