Testing for a unit root in the presence of a variance shift

被引：58

作者：

Hamori, S ^{[1
]}

Tokihisa, A ^{[1
]}

机构：

[1] Kobe Univ, Fac Econ, Nada Ku, Kobe, Hyogo 657, Japan

来源：

ECONOMICS LETTERS | 1997年 / 57卷 / 03期

关键词：

hypothesis testing; unit root test; structural break;

D O I：

10.1016/S0165-1765(97)00245-0

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper examines the effects of shifts in variance on the unit root test. The limiting distribution of the test statistic is derived, and Monte Carlo experiment evidence on the finite sample is provided. This paper shows that the limiting distribution of the standard unit root test is not invariant to changes in variances. The results are supported by Monte Carlo experiments. (C) 1997 Elsevier Science S.A.

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页码：245 / 253

页数：9

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