On Trend Breaks and Initial Condition in Unit Root Testing

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On Trend Breaks and Initial Condition in Unit Root Testing. / Skrobotov, Anton.

In: Journal of Time Series Econometrics, Vol. 10, No. 1, 0014, 20.12.2017.

Research output: Contribution to journal › Article › peer-review

BibTeX

@article{b21a32964dd842979d380f8b4f282721,

title = "On Trend Breaks and Initial Condition in Unit Root Testing",

abstract = "Recent approaches in unit root testing have taken into account the influences of initial conditions and data trend breaks via pre-testing and union of rejection testing strategies. This paper reviews existing methods, extends the methods of (Harvey, D. I., S. J. Leybourne, and A. M. R. Taylor. 2012b. {"}Unit Root Testing under a Local Break in Trend.{"} Journal of Econometrics 167:140-167), and integrates these techniques to create a comprehensive testing strategy. Even when presented with nuisance parameters such as initial conditions and data breaks, this new strategy holds promising asymptotic and finite sample properties.",

keywords = "Asymptotic local power, Infimum Dickey-Fuller tests, Local trend break, Pre-testing, Union of rejection, Unit root test",

author = "Anton Skrobotov",

note = "Publisher Copyright: {\textcopyright} 2018 Walter de Gruyter GmbH, Berlin/Boston.",

year = "2017",

month = dec,

day = "20",

doi = "10.1515/jtse-2016-0014",

language = "English",

volume = "10",

journal = "Journal of Time Series Econometrics",

issn = "2194-6507",

publisher = "De Gruyter",

number = "1",

}

RIS

TY - JOUR

T1 - On Trend Breaks and Initial Condition in Unit Root Testing

AU - Skrobotov, Anton

PY - 2017/12/20

Y1 - 2017/12/20

N2 - Recent approaches in unit root testing have taken into account the influences of initial conditions and data trend breaks via pre-testing and union of rejection testing strategies. This paper reviews existing methods, extends the methods of (Harvey, D. I., S. J. Leybourne, and A. M. R. Taylor. 2012b. "Unit Root Testing under a Local Break in Trend." Journal of Econometrics 167:140-167), and integrates these techniques to create a comprehensive testing strategy. Even when presented with nuisance parameters such as initial conditions and data breaks, this new strategy holds promising asymptotic and finite sample properties.

AB - Recent approaches in unit root testing have taken into account the influences of initial conditions and data trend breaks via pre-testing and union of rejection testing strategies. This paper reviews existing methods, extends the methods of (Harvey, D. I., S. J. Leybourne, and A. M. R. Taylor. 2012b. "Unit Root Testing under a Local Break in Trend." Journal of Econometrics 167:140-167), and integrates these techniques to create a comprehensive testing strategy. Even when presented with nuisance parameters such as initial conditions and data breaks, this new strategy holds promising asymptotic and finite sample properties.

KW - Asymptotic local power

KW - Infimum Dickey-Fuller tests

KW - Local trend break

KW - Pre-testing

KW - Union of rejection

KW - Unit root test

UR - http://www.scopus.com/inward/record.url?scp=85041034782&partnerID=8YFLogxK

U2 - 10.1515/jtse-2016-0014

DO - 10.1515/jtse-2016-0014

M3 - Article

AN - SCOPUS:85041034782

VL - 10

JO - Journal of Time Series Econometrics

JF - Journal of Time Series Econometrics

SN - 2194-6507

IS - 1

M1 - 0014

ER -

ID: 92711831