Misspecification of the breaking date in series with a change in the growth rate. Effect on the LBI test for stationarity

Maria Jose Presno and Carmen Ramos

Applied Economics Letters, 2007, vol. 14, issue 11, 845-850

Abstract: We study the asymptotic behaviour of the LBI statistic for testing stationarity around a trend with a change in the growth rate when the breaking date is erroneously positioned, showing its divergence. The analysis is completed with Monte Carlo simulations.

Date: 2007
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DOI: 10.1080/13504850600592648

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