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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Description/Abstract

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

Item Type: Article
ISSNs: 0167-9473 (print)
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
ePrint ID: 342406
Date Deposited: 28 Aug 2012 16:23
Last Modified: 27 Mar 2014 20:24
Projects:
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
URI: http://eprints.soton.ac.uk/id/eprint/342406

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