A new unit root test with two structural breaks in level and slope at unknown time

Narayan, Paresh and Popp, Stephan 2010, A new unit root test with two structural breaks in level and slope at unknown time, Journal of applied statistics, vol. 37, no. 9, pp. 1425-1438.

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Title A new unit root test with two structural breaks in level and slope at unknown time
Author(s) Narayan, Paresh
Popp, Stephan
Journal name Journal of applied statistics
Volume number 37
Issue number 9
Start page 1425
End page 1438
Total pages 14
Publisher Routledge
Place of publication Oxon, England
Publication date 2010-09
ISSN 0266-4763
1360-0532
Keyword(s) unit root test
multiple structural breaks
break date estimation
Monte Carlo simulations
US macroeconomic variables
Summary In this paper, we propose a new augmented Dickey–Fuller-type test for unit roots which accounts for
two structural breaks. We consider two different specifications: (a) two breaks in the level of a trending data series and (b) two breaks in the level and slope of a trending data series. The breaks whose time of occurrence is assumed to be unknown are modeled as innovational outliers and thus take effect gradually. Using Monte Carlo simulations, we showthat our proposed test has correct size, stable power, and identifies the structural breaks accurately.
Language eng
Field of Research 150202 Financial Econometrics
Socio Economic Objective 910103 Economic Growth
HERDC Research category C1 Refereed article in a scholarly journal
HERDC collection year 2010
Copyright notice ©2010, Taylor & Francis
Persistent URL http://hdl.handle.net/10536/DRO/DU:30032690

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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