Startseite On Trend Breaks and Initial Condition in Unit Root Testing
Artikel
Lizenziert
Nicht lizenziert Erfordert eine Authentifizierung

On Trend Breaks and Initial Condition in Unit Root Testing

  • Anton Skrobotov EMAIL logo
Veröffentlicht/Copyright: 18. Juli 2017
Veröffentlichen auch Sie bei De Gruyter Brill

Abstract

Recent approaches in unit root testing have taken into account the influences of initial conditions and data trend breaks via pre-testing and union of rejection testing strategies. This paper reviews existing methods, extends the methods of (Harvey, D. I., S. J. Leybourne, and A. M. R. Taylor. 2012b. “Unit Root Testing under a Local Break in Trend.” Journal of Econometrics 167:140–167), and integrates these techniques to create a comprehensive testing strategy. Even when presented with nuisance parameters such as initial conditions and data breaks, this new strategy holds promising asymptotic and finite sample properties.

JEL Classification: C12; C22

Acknowledgements

Author thanks Robert Taylor and two anonymous referees for helpful comments. Author also thanks Jesse Benzell for careful proofreading.

References

Carrion-i-Silvestre, J. L., D. Kim, and P. Perron. 2009. “GLS-Based Unit Root Tests with Multiple Structural Breaks Both under the Null and the Alternative Hypotheses.” Econometric Theory 25: 1754–1792.10.1017/S0266466609990326Suche in Google Scholar

Elliott, G. 1999. “Efficient Tests for a Unit Root when the Initial Observation is Drawn from its Unconditional Distribution.” International Economic Review 40: 767–783.10.1111/1468-2354.00039Suche in Google Scholar

Elliott, G., and U. Muller. 2006. “Minimizing the Impact of the Initial Condition on Testing for Unit Roots.” Journal of Econometrics 135: 285–310.10.1016/j.jeconom.2005.07.024Suche in Google Scholar

Harris, D., D. I. Harvey, S. J. Leybourne, and A. M. R. Taylor. 2009. “Testing for a Unit Root in the Presence of a Possible Break in Trend.” Econometric Theory 25: 1545–1588.10.1017/S0266466609990259Suche in Google Scholar

Harvey, D. I., and S. J. Leybourne. 2005. “On Testing for Unit Roots and the Initial Observation.” The Econometrics Journal 8: 97–111.10.1111/j.1368-423X.2005.00154.xSuche in Google Scholar

Harvey, D. I., and S. J. Leybourne. 2006. “Power of a Unit-Root Test and the Initial Condition.” Journal of Time Series Analysis 27: 739–752.10.1111/j.1467-9892.2006.00486.xSuche in Google Scholar

Harvey, D. I., and S. J. Leybourne. 2012. “An Infimum Normalized Bias Unit Root Test Allowing for an Unknown Break in Trend.” Economics Letters 117: 298–302.10.1016/j.econlet.2012.05.023Suche in Google Scholar

Harvey, D. I., and S. J. Leybourne. 2013. “Break Date Estimation for Models with Deterministic Structural Change.” Oxford Bulletin of Economics and Statistics 76: 623–642.10.1111/obes.12037Suche in Google Scholar

Harvey, D. I., S. J. Leybourne, and A. M. R. Taylor. Testing for Unit Roots in the Presence of Uncertainty over Both the Trend and Initial Condition. Granger Centre Discussion Paper No. 08/03, University of Nottingham, 2008.10.1016/j.jeconom.2012.01.018Suche in Google Scholar

Harvey, D. I., S. J. Leybourne, and A. M. R. Taylor. 2009a. “Simple, Robust and Powerful Tests of the Breaking Trend Hypothesis.” Econometric Theory 25: 995–1029.10.1017/S0266466608090385Suche in Google Scholar

Harvey, D. I., S. J. Leybourne, and A. M. R. Taylor. 2009b. “Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition (with Commentaries and Rejoinder).” Econometric Theory 25: 587–667.10.1017/S026646660809018XSuche in Google Scholar

Harvey, D. I., S. J. Leybourne, and A. M. R. Taylor. 2010. “The Impact of the Initial Condition on Robust Tests for a Linear Trend.” Journal of Time Series Analysis 31: 292–302.10.1111/j.1467-9892.2010.00664.xSuche in Google Scholar

Harvey, D. I., S. J. Leybourne, and A. M. R. Taylor. 2012a. “Testing for Unit Roots in the Presence of Uncertainty over Both the Trend and Initial Condition.” Journal of Econometrics 169: 188–195.10.1016/j.jeconom.2012.01.018Suche in Google Scholar

Harvey, D. I., S. J. Leybourne, and A. M. R. Taylor. 2012b. “Unit Root Testing under a Local Break in Trend.” Journal of Econometrics 167: 140–167.10.1016/j.jeconom.2011.10.006Suche in Google Scholar

Harvey, D. I., S. J. Leybourne, and A. M. R. Taylor. 2013a. “On Infimum Dickey-Fuller Unit Root Tests Allowing for a Trend Break under the Null.” Computational Statistics and Data Analysis 78: 235–242.10.1016/j.csda.2012.10.017Suche in Google Scholar

Harvey, D. I., S. J. Leybourne, and A. M. R. Taylor. 2013b. “Testing for Unit Roots in the Possible Presence of Multiple Trend Breaks using Minimum Dickey-Fuller Statistics.” Journal of Econometrics 177: 265–284.10.1016/j.jeconom.2013.04.012Suche in Google Scholar

Kim, D., and P. Perron. 2009. “Unit Root Tests Allowing for a Break in the Trend Function at an Unknown Time under Both the Null and Alternative Hypotheses.” Journal of Econometrics 148: 1–13.10.1016/j.jeconom.2008.08.019Suche in Google Scholar

Liu, H., and G. H. Rodríguez. 2006. “Unit Root Tests and Structural Change when the Initial Observation is Drawn from its Unconditional Distribution.” Econometrics Journal 9: 225–251.10.1111/j.1368-423X.2006.00183.xSuche in Google Scholar

Muller, U., and G. Elliott. 2003. “Tests for Unit Roots and the Initial Condition.” Econometrica 71: 1269–1286.10.1111/1468-0262.00447Suche in Google Scholar

Ng, S., and P. Perron. 2001. “Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power.” Econometrica 69: 1519–1554.10.1111/1468-0262.00256Suche in Google Scholar

Perron, P. 1989. “The Great Crash, the Oil Price Shock and the Unit Root Hypothesis.” Econometrica 57: 1361–1401.10.2307/1913712Suche in Google Scholar

Perron, P., and Z. Qu. 2007. “A Simple Modification to Improve the Finite Sample Properties of Ng and Perron’s Unit Root Tests.” Economics Letters 94: 12–19.10.1016/j.econlet.2006.06.009Suche in Google Scholar

Perron, P., and G. H. Rodríguez. 2003. “GLS Detrending, Effcient Unit Root Tests and Structural Change.” Journal of Econometrics 115: 1–27.10.1016/S0304-4076(03)00090-3Suche in Google Scholar

Perron, P., and T. Yabu. 2009. “Testing for Shifts in Trend with an Integrated or Stationary Noise Component.” Journal of Business and Economic Statistics 27: 369–396.10.1198/jbes.2009.07268Suche in Google Scholar

Phillips, P. C. B., and V. Solo. 1992. “Asymptotics for Linear Processes.” Annals of Statistics 20: 971–1001.10.1214/aos/1176348666Suche in Google Scholar

Rodrigues, P. M. M. 2013. “Recursive Adjustment, Unit Root Tests and Structural Breaks.” Journal of Time Series Analysis 34: 62–82.10.1111/j.1467-9892.2012.00813.xSuche in Google Scholar

Zivot, E., and D. W. K. Andrews. 1992. “Further Evidence on the Great Crash, the Oil Price Shock and the Unit Root Hypothesis.” Journal of Business and Economic Statistics 10: 251–270.10.1080/07350015.1992.10509904Suche in Google Scholar


Supplemental Material

The online version of this article offers supplementary material (https://doi.org/10.1515/jtse-2016-0014).


Published Online: 2017-7-18

© 2018 Walter de Gruyter GmbH, Berlin/Boston

Heruntergeladen am 22.9.2025 von https://www.degruyterbrill.com/document/doi/10.1515/jtse-2016-0014/html
Button zum nach oben scrollen