A new unit root test with two structural breaks in level and slope at unknown time

被引：499

作者：

Narayan, Paresh Kumar ^{[2
]}

Popp, Stephan ^{[1
]}

机构：

[1] Univ Duisburg Essen, Dept Econ & Stat, Essen, Germany

[2] Deakin Univ, Fac Business & Law, Sch Accounting Econ & Finance, Melbourne, Vic, Australia

来源：

JOURNAL OF APPLIED STATISTICS | 2010年 / 37卷 / 09期

关键词：

unit root test; multiple structural breaks; break date estimation; Monte Carlo simulations; US macroeconomic variables; OIL-PRICE SHOCK; GREAT CRASH; SERIES; TRENDS;

D O I：

10.1080/02664760903039883

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we propose a new augmented Dickey-Fuller-type test for unit roots which accounts for two structural breaks. We consider two different specifications: (a) two breaks in the level of a trending data series and (b) two breaks in the level and slope of a trending data series. The breaks whose time of occurrence is assumed to be unknown are modeled as innovational outliers and thus take effect gradually. Using Monte Carlo simulations, we show that our proposed test has correct size, stable power, and identifies the structural breaks accurately.

引用

页码：1425 / 1438

页数：14

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