Arbeitspapier
Identification of the true break date in innovational outlier unit root tests
The present paper considers Dickey-Fuller-type unit root tests which account for a structural break occurring at an unknown point in time. The break is modelled by an innovational outlier approach. Provided that the break date is estimated correctly, the exact invariance to a mean and a slope shift holds for these tests under the null hypothesis. An erroneous estimation of the break date leads to considerable spurious rejections of the null hypothesis in small samples. In this paper, test procedures are developed using a components representation of the data generating process. In contrast to the conventionally used approaches, these tests enable the identification of the true break date and ensure the invariance property of the corresponding test statistics. Monte Carlo simulations of size and power testify the favorable properties of the developed tests.
- Sprache
-
Englisch
- Erschienen in
-
Series: Diskussionsbeitrag ; No. 152
- Klassifikation
-
Wirtschaft
- Thema
-
Unit root tests
structural break
endogenous break date estimation
innovational outlier models
spurious rejections
component representation
Unit Root Test
Strukturbruch
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Popp, Stephan
- Ereignis
-
Veröffentlichung
- (wer)
-
Universität Duisburg-Essen, Fachbereich Wirtschaftswissenschaften
- (wo)
-
Essen
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Popp, Stephan
- Universität Duisburg-Essen, Fachbereich Wirtschaftswissenschaften
Entstanden
- 2007
Ähnliche Objekte (12)
Unit roots and structural breaks
Unit roots and structural breaks
Seasonal Unit Root Tests under Structural Breaks
Seasonal Unit Root Tests under Structural Breaks
The largest nonidentifiable outlier: A comparison of multivariate simultaneous outlier identification rules
The Largest Nonidentifiable Outlier : A Comparison of Multivariate Simultaneous Outlier Identification Rules
Unit root tests for time series with a structural break: When the break point is known
Unit Root Tests for Time Series with a Structural Break
Automatic optimization of outlier detection ensembles using a limited number of outlier examples
Identifying outlier scores and outlier jurors to reduce manipulation in classical music competitions
Outlier Detection in GARCH Models
Online boxplot derived outlier detection
Unit roots and structural breaks
Unit roots and structural breaks
Seasonal Unit Root Tests under Structural Breaks
Seasonal Unit Root Tests under Structural Breaks
The largest nonidentifiable outlier: A comparison of multivariate simultaneous outlier identification rules
The Largest Nonidentifiable Outlier : A Comparison of Multivariate Simultaneous Outlier Identification Rules
Unit root tests for time series with a structural break: When the break point is known
Unit Root Tests for Time Series with a Structural Break
Automatic optimization of outlier detection ensembles using a limited number of outlier examples
Identifying outlier scores and outlier jurors to reduce manipulation in classical music competitions
Outlier Detection in GARCH Models
Online boxplot derived outlier detection
Unit roots and structural breaks
Unit roots and structural breaks
Seasonal Unit Root Tests under Structural Breaks
Seasonal Unit Root Tests under Structural Breaks
The largest nonidentifiable outlier: A comparison of multivariate simultaneous outlier identification rules
The Largest Nonidentifiable Outlier : A Comparison of Multivariate Simultaneous Outlier Identification Rules
Unit root tests for time series with a structural break: When the break point is known
Unit Root Tests for Time Series with a Structural Break
Automatic optimization of outlier detection ensembles using a limited number of outlier examples
Identifying outlier scores and outlier jurors to reduce manipulation in classical music competitions
Outlier Detection in GARCH Models