Level shifts, unit roots and misspecification of the breaking date

被引：9

作者：

Montanes, A

机构：

来源：

ECONOMICS LETTERS | 1997年 / 54卷 / 01期

关键词：

unit root tests; exogenous break; breaking date misspecification;

D O I：

10.1016/S0165-1765(97)00012-8

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper analyses the asymptotic behaviour of the Perron (1990) unit root tests in the presence of an erroneous location of the breaking date. It is analytically proved that these statistics converge to their correct distribution under the null hypothesis and diverge to - infinity to under the alternative.

引用

页码：7 / 13

页数：7

共 6 条

[1] MISSPECIFICATION TESTS, UNIT ROOTS AND LEVEL SHIFTS [J].