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A Note on the Asymptotic Distributions of Unit Root Tests in the Additive Outlier Model With Breaks
Brazilian Review of Econometrics
View Archive Info| Field | Value | |
| Title |
A Note on the Asymptotic Distributions of Unit Root Tests in the Additive Outlier Model With Breaks
A Note on the Asymptotic Distributions of Unit Root Tests in the Additive Outlier Model With Breaks |
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| Creator |
Perron, Pierre; Université de Montréal Département de Sciences Economiques and Centre de Recherche et Développement en Economique, Université de Montréal, C.P. 6128, Succ. A., Montréal, Canada, H3C-3J7.
Vogelsang, Timothy J.; Princeton University Department of Economics, Princeton University, Princeton, N J, 08544. |
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| Subject |
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| Description |
This note discusses tests for a unit root allowing the possibility of a onetime change in the intercept and/or the slope of the trend function in the additive outlier model considered in Perron (1989). We discuss and correct an error in the stated asymptotic distributions of the tests in this case. We propose a simple modification of the procedure which yields statistics having the same asymptotic distributions as stated in Perron (1989). We also discuss the adequacy of the asymptotic approximations and various extensions to the case where the breakpoint is unknown with corresponding asymptotic critical values.
Este artigo discute testes para uma raíz unitária permitindo a possibilidade de uma quebra única no intercepto e/ou na inclinação da função de tendência do modelo de outlier aditivo discutido em Perron (1989). Detectamos e corrigimos um erro na função de distribuição assintótica do teste proposto neste caso. A modificação feita nos permite construir uma estatística com a mesma distribuição assintótica da encontrada em Perron (1989). Discutimos, também, a propriedade de aproximações assintóticas e várias extensões onde o ponto de quebra é desconhecido. |
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| Publisher |
Sociedade Brasileira de Econometria
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| Date |
1993-11-02
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2981
10.12660/bre.v13n21993.2981 |
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| Source |
Brazilian Review of Econometrics; Vol 13, No 2 (1993); l8l-20l
Brazilian Review of Econometrics; Vol 13, No 2 (1993); l8l-20l 1980-2447 |
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| Language |
eng
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| Relation |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2981/1878
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