GLS para eliminar los componentes determinísticos, estadísticos de raíz unitaria eficientes y cambio estructural

Pierre Perron and Gabriel Rodríguez

Revista Economía, 2012, vol. 35, issue 69, 174-203

Abstract: We extend the class of M-tests for a unit root analyzed by Perron and Ng (1996) and Ng and Perron (1997) to the case where a change in the trend function is allowed to occur at an unknown time. These tests M(GLS) adopt the GLS detrending approach of Dufour and King (1991) and Elliott, Rothenberg and Stock (1996) (ERS). Following Perron (1989), we consider two models : one allowing for a change in slope and the other for both a change in intercept and slope. We derive the asymptotic distribution of the tests as well as that of the feasible point optimal tests PT(GLS) suggested by ERS. The asymptotic critical values of the tests are tabulated. Also, we compute the non-centrality parameter used for the local GLS detrending that permits the tests to have 50% asymptotic power at that value. We show that the M(GLS) and PT(GLS) tests have an asymptotic power function close to the power envelope. An extensive simulation study analyzes the size and power in finite samples under various methods to select the runcation lag for the autoregressive spectral density estimator. An empirical application is also provided.

Keywords: integrated process; quasi-differencing; change-point; truncation lag; information criteria (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (1)

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