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A simple modification of the Busetti-Harvey stationarity tests with structural breaks at unknown time

Anton Skrobotov ()

Working Papers from Gaidar Institute for Economic Policy

Abstract: In this paper a modification of the Busetti and Harvey (2001) test with structural break at unknown time is proposed. As the stationarity test with a super-consistent break date estimator is effective under large breaks and the infimum-test is effective under small breaks, although it has serious size distortions under large breaks, we propose a simple decision rule based on pre-testing for the presence of a break. The proposed modification shows good size properties. Also, an extension for the case of multiple structural breaks is proposed

Keywords: KPSS test; in mum test; size distortion; power; pre-testing; structural breaks (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2014, Revised 2014
New Economics Papers: this item is included in nep-ecm and nep-ets
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http://www.iep.ru/files/RePEc/gai/wpaper/0102Skrobotov.pdf Revised version, 2014 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:gai:wpaper:0102

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