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Size and power properties of structural break unit root tests

Narayan, Paresh Kumar and Popp, Stephan 2013, Size and power properties of structural break unit root tests, Applied economics, vol. 45, no. 6, pp. 721-728, doi: 10.1080/00036846.2011.610752.

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Title Size and power properties of structural break unit root tests
Author(s) Narayan, Paresh Kumar
Popp, Stephan
Journal name Applied economics
Volume number 45
Issue number 6
Start page 721
End page 728
Total pages 8
Publisher Routledge Taylor & Francis Group
Place of publication Abingdon, England
Publication date 2013
ISSN 0003-6846
Keyword(s) unit root test
structural breaks
sample size
Monte Carlo
Summary In this article, we compare the small sample size and power properties of a newly developed endogenous structural break unit root test of Narayan and Popp (NP, 2010) with the existing two break unit root tests, namely the Lumsdaine and Papell (LP, 1997) and the Lee and Strazicich (LS, 2003) tests. In contrast to the widely used LP and LS tests, the NP test chooses the break date by maximizing the significance of the break dummy coefficient. Using Monte Carlo simulations, we show that the NP test has better size and high power, and identifies the structural breaks accurately. Power and size comparisons of the NP test with the LP and LS tests reveal that the NP test is significantly superior.
Language eng
DOI 10.1080/00036846.2011.610752
Field of Research 150202 Financial Econometrics
Socio Economic Objective 970114 Expanding Knowledge in Economics
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2013, Taylor & Francis
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Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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Created: Wed, 02 Oct 2013, 14:25:33 EST by Aysun Alpyurek

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