Joint Detection of Structural Change and Nonstationarity in Autoregressions

Jean-Yves Pitarakis

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper we develop a test of the joint null hypothesis of parameter stability and a unit root within an ADF style autoregressive specification whose entire parameter structure is potentially subject to a structural break at an unknown time period. The maintained underlying null model is a linear autoregression with a unit root, stationary regressors and a constant term. As a byproduct we also obtain the limiting behaviour of a related Wald statistic designed to solely test the null of parameter stability in an environment with a unit root. These distributions are free of nuisance parameters and easily tabulated. The finite sample properties of our tests are subsequently assessed through a series of simulations.

Keywords: Structural Breaks; Unit Roots; Nonlinear Dynamics (search for similar items in EconPapers)
JEL-codes: C10 C22 (search for similar items in EconPapers)
Date: 2011-02
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:29189

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