Joint detection of structural change and nonstationarity in autoregressions
Joint detection of structural change and nonstationarity in autoregressions
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.
structural breaks, unit roots, nonlinear dynamics
Munich Personal RePEc Archive
Pitarakis, J.
ee5519ae-9c0f-4d79-8a3a-c25db105bd51
February 2011
Pitarakis, J.
ee5519ae-9c0f-4d79-8a3a-c25db105bd51
Pitarakis, J.
(2011)
Joint detection of structural change and nonstationarity in autoregressions
(MPRA Paper, 29189)
Munchen, GE.
Munich Personal RePEc Archive
13pp.
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Monograph
(Working Paper)
Abstract
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.
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Published date: February 2011
Keywords:
structural breaks, unit roots, nonlinear dynamics
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Local EPrints ID: 182877
URI: http://eprints.soton.ac.uk/id/eprint/182877
PURE UUID: 1487704f-3e8b-42fc-88c9-14a7ac386643
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Date deposited: 28 Apr 2011 12:19
Last modified: 15 Mar 2024 03:16
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