Structural breaks, unit roots and methods for removing the autocorrelation pattern

Antonio Montañés and Marcelo Reyes

Statistics & Probability Letters, 2000, vol. 48, issue 4, 401-409

Abstract: This paper examines the asymptotic and finite sample behaviour of the ADF and Phillips-Perron statistics under the presence of a break in the trend function. We prove that the break magnitude affects these two statistics in a similar way, drawing them closer the acceptance zone, the higher the break magnitude. By contrast, the influence of the lag truncation parameter does not have a similar effect on them, being very important for the ADF whilst negligible for the Phillips-Perron statistics.

Keywords: Unit; roots; Dickey-Fuller; tests; Phillips-Perron; tests; Structural; break (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (8)

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