Title
Break point estimation and spurious rejections with endogenous unit root tests
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
ISSN
0305-9049
Recommended Citation
"Break point estimation and spurious rejections with endogenous unit root tests" (2001). Faculty Bibliography 2000s. 8083.
https://stars.library.ucf.edu/facultybib2000/8083
Comments
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