A note on the asymptotic distribution of a Perron-type innovational outlier unit root test with a break |
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Authors: | Mauro Costantini Stephan Popp |
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Affiliation: | 1.Department of Economics,University of Vienna,Vienna,Austria;2.Department of Statistics and Econometrics,University of Duisburg-Essen,Essen,Germany |
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Abstract: | This note provides the asymptotic distribution of a Perron-type innovational outlier unit root test developed by Popp (J Stat Comput Sim 78:1145–1161, 2008) in case of a shift in the intercept for non-trending data. In Popp (J Stat Comput Sim 78:1145–1161, 2008), only critical values for finite samples based on Monte Carlo techniques are tabulated. Using similar arguments as in Zivot and Andrews (J Bus Econ Stat 10:251–270, 1992), weak convergence is shown for the test statistics. |
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