A NOTE ON BUSETTI–HARVEY TESTS FOR STATIONARITY IN SERIES WITH STRUCTURAL BREAKS

David Harvey and Terence C. Mills

Journal of Time Series Analysis, 2003, vol. 24, issue 2, 159-164

Abstract: Abstract. In this note, we highlight a minor error in the asymptotic distribution of one of the Busetti and Harvey (2001) tests for stationarity in the presence of structural breaks, and provide corrected asymptotic critical values where relevant. In addition, we examine the extent to which finite sample critical values for the Busetti–Harvey tests are approximated by their asymptotic counterparts when the location of the break is determined endogenously.

Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:24:y:2003:i:2:p:159-164

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