A joint test for structural stability and a unit root in autoregressions
A joint test for structural stability and a unit root in autoregressions
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
structural breaks, unit roots, nonlinear dynamics
577-587
Pitarakis, Jean-Yves
ee5519ae-9c0f-4d79-8a3a-c25db105bd51
August 2014
Pitarakis, Jean-Yves
ee5519ae-9c0f-4d79-8a3a-c25db105bd51
Pitarakis, Jean-Yves
(2014)
A joint test for structural stability and a unit root in autoregressions.
Computational Statistics & Data Analysis, 76, .
(doi:10.1016/j.csda.2012.07.027).
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
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e-pub ahead of print date: 10 August 2012
Published date: August 2014
Keywords:
structural breaks, unit roots, nonlinear dynamics
Organisations:
Economics
Identifiers
Local EPrints ID: 342406
URI: http://eprints.soton.ac.uk/id/eprint/342406
ISSN: 0167-9473
PURE UUID: 933ff81b-f98b-421b-9121-e1382ad80602
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Date deposited: 28 Aug 2012 16:23
Last modified: 15 Mar 2024 03:16
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