Break Point Estimation and Spurious Rejections With Endogenous Unit Root Tests

By Junsoo Lee, Mark Strazicich. 2001

378 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/22faee928a9554c9c978de82eee5ea4fbf6fcbef

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In Economics and Econometrics

Citations in the corpus

Electricity consumption and real GDP causality nexus: Evidence from ARDL bounds testing approach for 11 MENA countries (2011, background): “[16]; Vogelsang and Perron [17]; and Lee and Strazicich [18,19]).”
Trends and random walks in macroeconomic time series: A reappraisal (2012, background): “Further, Nunes et al. (1997), Montañés and Reyes (1998), Leybourne et al. (1998), Lee and Strazicich (2001) and Sen (2008) found that Dickey–Fuller type unit root tests spuriously reject the unit root null when there is a break under the null hypothesis.”
Co2 emission and economic growth in Algeria (2016, background): “The break point occurs when the t-statistic related to the unit root test is at its minimum value (Lee and Strazicich, 2001).”
Are incomes converging among OECD countries? Time series evidence with two structural breaks (2004, neutral): “Lee and Strazicich (2001) further investigate this issue and discover the source of the size distortions.”
Two-Step LM Unit Root Tests with Trend-Breaks (2012, background): “However, as noted in Nunes, Newbold and Kuan (1997) and Lee and Strazicich (2001), these endogenous unit root tests are not pivotal and spurious rejections occur under the null when the magnitude of breaks is not zero.”
Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks (2003, background): “Nunes, Newbold, and Kuan (1997) and Lee and Strazicich (2001) provide evidence that assuming no break under the null in endogenous break tests causes the test statistic to diverge and lead to significant rejections of the unit root null when the data-generating process (DGP) is a unit root with…”
GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES (2009, background): “Of interest also is the fact that Leybourne, Mills and Newbold (1998) and Leybourne and Newbold (2000) analyzed the effect of a break on a standard DF test under the unit root null hypothesis and showed that size distortions can occur, especially when the break is early in the sample 1.”
Tourist arrivals and macroeconomic determinants of CO2 emissions in Malaysia (2014, background): “With the exception of Lee and Strazicich (2003, 2004) tests, many of these tests are characterized by several deficiencies (Lee & Strazicich, 2001).”
New innovational outlier unit root test with a break at an unknown time (2008, methodology): “Strazicich [8] chooses the break date based on an information criterion”
A new unit root test with two structural breaks in level and slope at unknown time (2010, background): “Perron (1989) showed that ignoring a structural break, as is the case with the Dickey and Fuller (DF), can lead to the false acceptance of the unit root null hypothesis. The e¤ect of structural breaks on the performance of the DF unit root test is discussed intensively in the literature. This branch”
GLS-based unit root tests with multiple structural breaks both under the null and the alternative hypotheses (2007, positive): “Of interest also is the fact that Leybourne, Mills and Newbold (1998) and Leybourne and Newbold (2000) analyzed the effect of a break on a standard DF test under the unit root null hypothesis and showed that size distortions can occur, especially when the break is early in the sample 1.”