Misspecification of the breaking date in segmented trend variables: Effect on the unit root tests

Economics Letters

Volumn 65, Issue 3, 1999, Pages 301-307

  Montañés, Antonio ^a,b   Olloqui, Irene ^a  

^a UNIVERSITY OF ZARAGOZA   (Spain)

^b UNIVERSITY OF ZARAGOZA   (Spain)

Author keywords

Breaking date misspecification; Segmented trend variables; Unit roots

Indexed keywords

EID: 0033235667     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1765(99)00161-5     Document Type: Article

References (7)

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2. Dickey, D., Fuller, W., 1979. Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association 74, 427-431.
3. Montañés, A., 1997. Level shifts, unit roots and the misspecification of the breaking time. Economics Letters 54, 7-13.
4. Montañés, A., Reyes, M., 1998. The asymptotic behaviour of the Dickey-Fuller unit root tests under a shift in the trend function. Econometric Theory 14, 355-363.
5. Perron, P., 1989. The great crash, the oil price shock and the unit root hypothesis. Econometrica 57, 1361-1401.
6. Perron, P., 1990. Testing for a unit root in time series with a changing mean. Journal of Business and Economic Statistics 8, 153-162.
7. Perron, P., 1993. Erratum. Econometrica 61, 249-250.