On the asymptotic distribution of a simple unit root test for trending and breaking series |
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| Authors: | Mauro Costantini Amit Sen |
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| Institution: | 1. Department of Economics and Finance, Room: MJ260, Brunel University, Uxbridge UB8 3PH, The United Kingdom;2. Department of Economics, 328 Smith Hall, 3800 Victory Parkway, Xavier University, Cincinnati, OH 45207-1212, USA |
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| Abstract: | In this paper, we derive the asymptotic distribution of Popp's (2008) innovational outlier unit root test for trending series with a break. The results of Zivot and Andrews (1992) are applied to provide the limiting results of these new test statistics. We tabulate their asymptotic and finite sample critical values, and illustrate the use of the new statistics with an application to the unemployment rate series for 23 OECD countries. |
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| Keywords: | Unit root Trend break Break-date |
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