On Trend Breaks and Initial Condition in Unit Root Testing

被引：0

作者：

Skrobotov, Anton ^{[1
]}

机构：

[1] Russian Presidential Acad Natl Econ & Publ Adm, Inst Appl Econ Studies, Off 2103,Build 9,82 Vernadsky Pr, Moscow 119571, Russia

来源：

JOURNAL OF TIME SERIES ECONOMETRICS | 2018年 / 10卷 / 01期

关键词：

unit root test; infimum Dickey-Fuller tests; local trend break; asymptotic local power; union of rejection; pre-testing;

D O I：

10.1515/jtse-2016-0014

中图分类号：

O1 [数学]; C [社会科学总论];

学科分类号：

03 ; 0303 ; 0701 ; 070101 ;

摘要：

Recent approaches in unit root testing have taken into account the influences of initial conditions and data trend breaks via pre-testing and union of rejection testing strategies. This paper reviews existing methods, extends the methods of (Harvey, D. I., S. J. Leybourne, and A. M. R. Taylor. 2012b. "Unit Root Testing under a Local Break in Trend." Journal of Econometrics 167: 140-167), and integrates these techniques to create a comprehensive testing strategy. Even when presented with nuisance parameters such as initial conditions and data breaks, this new strategy holds promising asymptotic and finite sample properties.

引用

页数：14

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