A new unit root test with two structural breaks in level and slope at unknown time [electronic resource] / Paresh Kumar Narayan, Stephan Popp
- Bib ID:
- 4833715
- Format:
- Book
- Author:
- Narayan, Paresh Kumar
- Online Access:
- Archived at ANL
- Related Online Resources:
- Publisher site
- Description:
- [Melbourne] : School of Accounting, Economics and Finance, Deakin University, 2009
- Series:
-
- PANDORA electronic collection.
- Working paper series (Deakin University, School of Accounting, Economics and Finance : Online) ; SWP 2009/11.
- Technical Details:
-
- Mode of access: Internet via World Wide Web. Available at: http://www.deakin.edu.au/buslaw/aef/workingpapers/papers/2009_11.pdf
- System requirements: Adobe Acrobat Reader to read pdf file.
- Summary:
-
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.
- Notes:
-
- At head of title: Faculty of Business and Law. School of Accounting, Economics and Finance.
- Title from title screen (viewed on 4 May, 2010)
- Includes bibliographical references (p. 18-20)
- Text.
- Selected for archiving
- Subject:
- Econometric models
- Other authors/contributors:
- Copyright:
-
In Copyright
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Copyright status was determined using the following information:
- Material type:
- Literary Dramatic Musical
- Published status:
- Published
- Publication date:
- 2009
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