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Joint detection of structural change and nonstationarity in autoregressions

Record type: Monograph (Working Paper)

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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Citation

Pitarakis, J. (2011) Joint detection of structural change and nonstationarity in autoregressions , Munchen, GE Munich Personal RePEc Archive 13pp. (MPRA Paper, 29189).

More information

Published date: February 2011
Keywords: structural breaks, unit roots, nonlinear dynamics

Identifiers

Local EPrints ID: 182877
URI: http://eprints.soton.ac.uk/id/eprint/182877
PURE UUID: 1487704f-3e8b-42fc-88c9-14a7ac386643

Catalogue record

Date deposited: 28 Apr 2011 12:19
Last modified: 18 Jul 2017 11:56

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Contributors

Author: J. Pitarakis

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