Breaking date misspecification error for the level shift KPSS test

被引：7

作者：

Carrion-i-Silvestre, JL ^{[1
]}

机构：

[1] Univ Barcelona, AQR, Dept Econometria Estadist & Econ Espanyola, Barcelona 08034, Spain

来源：

ECONOMICS LETTERS | 2003年 / 81卷 / 03期

关键词：

structural break; stationarity test; KPSS test; misspecification error;

D O I：

10.1016/S0165-1765(03)00219-2

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We show that the KPSS that allows for a level shift diverges when the breaking date is erroneously positioned. The Monte Carlo simulations indicate that this situation is also found in finite samples. (C) 2003 Elsevier B.V. All rights reserved.

引用

页码：365 / 371

页数：7

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