A joint test for structural stability and a unit root in autoregressions
Pitarakis, Jean-Yves (2012) A joint test for structural stability and a unit root in autoregressions. Computational Statistics & Data Analysis, n/a, 1-11. (doi:10.1016/j.csda.2012.07.027).
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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 is developed. The proposed test is a useful diagnostic tool for assessing the interactions of breaks and unit root type of nonstationarities in time series, in addition to offering a powerful device for detecting changes in persistence. As a byproduct the limiting behaviour of a related Wald statistic designed to test solely the null of parameter stability in an environment with a unit root is also obtained. These distributions are free of nuisance parameters and easily tabulated. The finite sample properties of the tests are assessed through a series of simulations, and an application to macroeconomic data illustrates their usefulness
|Keywords:||structural breaks, unit roots, nonlinear dynamics|
|Subjects:||H Social Sciences > HA Statistics
H Social Sciences > HB Economic Theory
|Divisions:||Faculty of Social and Human Sciences > Social Sciences > Economics
|Date Deposited:||28 Aug 2012 16:23|
|Last Modified:||27 Mar 2014 20:24|
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
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