Innovational outlier unit root tests with an endogenously determined break in level

被引:23
作者
Harvey, DI [1 ]
Leybourne, SJ
Newbold, P
机构
[1] Loughborough Univ Technol, Dept Econ, Loughborough LE11 3TU, Leics, England
[2] Univ Nottingham, Sch Econ, Nottingham NG7 2RD, England
关键词
D O I
10.1111/1468-0084.00235
中图分类号
F [经济];
学科分类号
02 ;
摘要
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.
引用
收藏
页码:559 / 575
页数:17
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