Innovational Outlier Unit Root Tests with an Endogenously Determined Break in Level

By David I. Harvey, S. Leybourne, P. Newbold. 2001

59 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/2a27eb81d784e992072d768d681c91a1e33299ff

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Citations in the corpus

Unit Root Tests under Time-Varying Variances (2005, methodology): “, on the effects of level breaks (Harvey et al., 2001) and of changes in persistence (Kim, 2000), have been carried out.”
GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES (2009, background): “As argued in Nunes, Newbold, and Kuan (1997) and Harvey, Leybourne, and Newbold (2001) (see also Vogelsang and Perron, 1998; Lee and Strazicich, 2001), if the noise component has a unit root and a break occurs in the trend function, the Zivot and Andrews (1992) type test statistics often diverge or…”
Minimum LM Unit Root Test with One Structural Break (2004, methodology): “Given that the break point tends to be determined correctly at the true break when using the LM test, there is no need to move the break point as in Harvey et al. (2001). 7 Asymptotic properties for the one-break minimum LM unit root test are similar for Model C, except that the test statistic is no”
GLS-based unit root tests with multiple structural breaks both under the null and the alternative hypotheses (2007, unknown): “Hatanaka and Yamada (1999) is related to the approach of Kim and Perron (2007) and deals with two breaks for the so-called IO (innovational outlier) type model.”
New innovational outlier unit root test with a break at an unknown time (2008, methodology): “[7] for M0 and M1 and Lee and Strazicich [8] for M1 and M2.”
A new unit root test with two structural breaks in level and slope at unknown time (2010, methodology): “Because our main focus is on the e¤ect of varying break magnitudes on the test performance, we adopt the assumption made in comparable studies by VP (1998), Harvey et al. (2001) and LS (2001) and”
Unit Root Tests Allowing for a Break in the Trend Function at an Unknown Time Under Both the Null and Alternative Hypotheses (2009, background): “are not very small, as shown in Harvey, Leybourne and Newbold (2001) .”