首页 | 本学科首页   官方微博 | 高级检索  
     检索      


A new unit root test with two structural breaks in level and slope at unknown time
Authors:Paresh  Kumar  Narayan
Institution:School of Accounting, Economics and Finance, Faculty of Business and Law , Deakin University , Melbourne , Australia
Abstract: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.
Keywords:unit root test  multiple structural breaks  break date estimation  Monte Carlo simulations  US macroeconomic variables
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号