Trend and Initial Condition in Stationarity Tests: The Asymptotic Analysis
type="main" xml:id="obes12057-abs-0001"> <title type="main">Abstract</title> <p>In this article, we investigate the behaviour of stationarity tests proposed by Müller [Journal of Econometrics (2005) Vol. 128, pp. 195–213] and Harris et al. [Econometric Theory (2007) Vol. 23, pp. 355–363] with uncertainty over the trend and/or initial condition. As different tests are efficient for different magnitudes of local trend and initial condition, following Harvey et al. [Journal of Econometrics (2012) Vol. 169, pp. 188–195], we propose decision rule based on the rejection of null hypothesis for multiple tests. Additionally, we propose a modification of this decision rule, relying on additional information about the magnitudes of the local trend and/or the initial condition that is obtained through pre-testing. The resulting modification has satisfactory size properties under both uncertainty types.
Year of publication: |
2015
|
---|---|
Authors: | Skrobotov, Anton |
Published in: |
Oxford Bulletin of Economics and Statistics. - Department of Economics, ISSN 0305-9049. - Vol. 77.2015, 2, p. 254-273
|
Publisher: |
Department of Economics |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Bias correction of KPSS test with structural break for reducing of size distortion
Skrobotov, Anton, (2014)
-
Confidence sets for the break date in cointegrating regressions
Kurozumi, Eiji, (2016)
-
Trend and initial condition in stationarity tests : the asymptotic analysis
Skrobotov, Anton, (2015)
- More ...