Break point estimation and spurious rejections with endogenous unit root tests

    Authors

    J. Lee;M. C. Strazicich

    Comments

    Authors: contact us about adding a copy of your work at STARS@ucf.edu

    Abbreviated Journal Title

    Oxf. Bull. Econ. Stat.

    Keywords

    OIL-PRICE SHOCK; GREAT CRASH; HYPOTHESIS; Economics; Social Sciences, Mathematical Methods; Statistics &; Probability

    Abstract

    This paper examines the accuracy of break point estimation using the endogenous break unit root tests of Zivot and Andrews (1992) and Perron (1997). We find that these tests tend to identify the break point incorrectly at one-period behind (T-B - 1) the true break point (T-B), where bias in estimating the persistence parameter and spurious rejections are the greatest. In addition, this outcome occurs under the null and alternative hypotheses, and more so as the magnitude of the break increases. Consequences of utilizing these endogenous break tests are similar to (incorrectly) omitting the break term B-t in Perron's (1989) exogenous test.

    Journal Title

    Oxford Bulletin of Economics and Statistics

    Volume

    63

    Issue/Number

    5

    Publication Date

    1-1-2001

    Document Type

    Article

    Language

    English

    First Page

    535

    Last Page

    558

    WOS Identifier

    WOS:000172746100002

    ISSN

    0305-9049

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