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GLS-detrending and Regime-wise Stationarity Testing in Small Samples

Claude Lopez ()

University of Cincinnati, Economics Working Papers Series from University of Cincinnati, Department of Economics

Abstract: This paper proposes a version of the DF-GLS test that incorporates up to two breaks in the intercept, namely the DF-GLSTB test. While the asymptotic properties of the DF-GLS test remain valid, the presence of changes in the intercept has an impact on the small sample properties of the test. Hence, finite sample critical values for the DF-GLSTB test are tabulated while a Monte Carlo study highlights its enhanced power.

New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2008, Revised 2008
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Journal Article: GLS-detrending and regime-wise stationarity testing in small samples (2009) Downloads
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