Joint detection of structural change and nonstationarity in autoregressions
Pitarakis, J. (2011) Joint detection of structural change and nonstationarity in autoregressions. Munchen, GE, Munich Personal RePEc Archive, 13pp. (MPRA Paper, 29189).
In this paper we develop a test of the joint null hypothesis of parameter stability and a unit root within an ADF style autoregressive specification whose entire parameter structure is potentially subject to a structural break at an unknown time period. The maintained underlying null model is a linear autoregression with a unit root, stationary regressors and a constant term. As a byproduct of our distribution theory we also obtain the limiting behaviour of a related Wald statistic designed to test solely the null of parameter stability in an environment with a unit root. These distributions are free of nuisance parameters and easily tabulated. The finite sample properties of our tests are subsequently assessed through a series of simulations.
|Item Type:||Monograph (Working Paper)|
|Keywords:||structural breaks, unit roots, nonlinear dynamics|
|Subjects:||H Social Sciences > HA Statistics|
|Divisions:||University Structure - Pre August 2011 > School of Social Sciences > Economics
|Date Deposited:||28 Apr 2011 12:19|
|Last Modified:||27 Mar 2014 19:38|
EPISODIC PREDICTABILITY IN MODELS WITH PERSISTENT VARIABLES AND ENDOGENEITY: DETECTION AND ESTIMATION
Funded by: ESRC (RES-000-22-3983)
Led by: Jean-Yves Pitarakis
1 November 2010 to 30 April 2012
|Publisher:||Munich Personal RePEc Archive|
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
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