| 000 | 02381nam a22002897a 4500 | ||
|---|---|---|---|
| 003 | ZW-GwMSU | ||
| 005 | 20240326095401.0 | ||
| 008 | 240326b |||||||| |||| 00| 0 eng d | ||
| 022 | _a02664666 | ||
| 040 |
_aMSU _bEnglish _cMSU _erda |
||
| 050 | 0 | 0 | _aHB139.T52 ECO |
| 100 | 1 |
_aHarris, David _eauthor |
|
| 245 | 0 | 0 |
_aTesting for a unit root in the presence of a possible break in trend _ccreated by David Harris, David I. Harvey, Stephen J. Leybourne and A. M. Robert Taylor |
| 264 | 1 |
_aCambridge: _bCambridge University Press, _c2009. |
|
| 336 |
_2rdacontent _atext _btxt |
||
| 337 |
_2rdamedia _aunmediated _bn |
||
| 338 |
_2rdacarrier _avolume _bnc |
||
| 440 |
_aEconometric theory _vVolume 25, number 6 |
||
| 520 | 3 | _aWe consider the issue of testing a time series for a unit root in the possible presence of a break in a linear deterministic trend at an unknown point in the series. We propose a new break fraction estimator which, where a break in trend occurs, is consistent for the true break fraction at rate Op(T−1). Unlike other available estimators, however, when there is no trend break, our estimator converges to zero at rate Op(T−1/2). Used in conjunction with a quasi difference (QD) detrended unit root test that incorporates a trend break regressor, we show that these rates of convergence ensure that known break fraction null critical values are asymptotically valid. Unlike available procedures in the literature, this holds even if there is no break in trend (the break fraction is zero). Here the trend break regressor is dropped from the deterministic component, and standard QD detrended unit root test critical values then apply. We also propose a second procedure that makes use of a formal pretest for a trend break in the series, including a trend break regressor only where the pretest rejects the null of no break. Both procedures ensure that the correctly sized (near-) efficient unit root test that allows (does not allow) for a break in trend is applied in the limit when a trend break does (does not) occur. | |
| 650 |
_aUnit root test _vQuasi difference de-trending _xTrend break |
||
| 650 |
_aPre-test _xAsymptotic power |
||
| 700 | 1 |
_aHarvey, David I _eco author |
|
| 700 | 1 |
_aLeybourne, Stephen J _eco author |
|
| 700 | 1 |
_aTaylor, A. M. Robert _eco author |
|
| 856 | _uhttps://doi.org/10.1017/S0266466609990259 | ||
| 942 |
_2lcc _cJA |
||
| 999 |
_c164563 _d164563 |
||