Tests for a Break in Level when the Order of Integration is Unknown

David Harvey, Stephen Leybourne () and Paul Newbold

Oxford Bulletin of Economics and Statistics, 2004, vol. 66, issue 1, 133-146

Abstract: In this paper, we consider tests for a break in the level of a series at an unknown point in time. It is often the case that uncertainty exists concerning the order of integration of the series; consequently, we focus on tests that are applicable when the order of integration is not known. The size and power of existing tests are analysed, and a modification to one of the established sets of tests is proposed which offers improved performance in certain circumstances.

Date: 2004
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https://doi.org/10.1046/j.0305-9049.2003.00084.x

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