English, Article, Journal or magazine article edition: A New Unit Root Test with Two Structural Breaks in Level and Slope at Unknown Time Paresh Kumar Narayan; Stephan Popp

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Bookmark: http://trove.nla.gov.au/version/107263
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • A New Unit Root Test with Two Structural Breaks in Level and Slope at Unknown Time
Author
  • Paresh Kumar Narayan
  • Stephan Popp
Physical Description
  • preprint
Notes
  • In this paper we propose a new ADF-type test for unit roots which accounts for two structural breaks. We consider two different specifications: (a) two breaks in the level of a trending series; and (b) two breaks in the level and slope of trending data. The breaks whose time of occurance is assumed to be unknown are modelled as innovational outliers and thus take effect gradually. Using Monte Carlo simulations, we show that our proposed test has correct size, stable power, and identifies the structural breaks accurately.
  • RePEc:dkn:econwp:eco_2009_11
Language
  • English
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