On Trend Breaks and Initial Condition in Unit Root Testing
Anton Skrobotov ()
Journal of Time Series Econometrics, 2018, vol. 10, issue 1, 15
Recent approaches in unit root testing have taken into account the influences of initial conditions and data trend breaks via pre-testing and union of rejection testing strategies. This paper reviews existing methods, extends the methods of (Harvey, D. I., S. J. Leybourne, and A. M. R. Taylor. 2012b. “Unit Root Testing under a Local Break in Trend.” Journal of Econometrics 167:140–167), and integrates these techniques to create a comprehensive testing strategy. Even when presented with nuisance parameters such as initial conditions and data breaks, this new strategy holds promising asymptotic and finite sample properties.
Keywords: unit root test; infimum Dickey-Fuller tests; local trend break; asymptotic local power; union of rejection; pre-testing (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
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Working Paper: On Trend Breaks and Initial Condition in Unit Root Testing (2016)
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