Title

On The End-Point Issue In Unit Root Tests In The Presence Of A Structural Break

Keywords

C12; C15; C22; End point; Structural break; Unit root test

Abstract

This paper shows that the spurious rejection problem illustrated by Leybourne et al. (1998) [Leybourne, S.J., Mills, T., Newbold, P., 1998. Spurious rejections by Dickey-Fuller tests in the presence of a break under the null. Journal of Econometrics 87, 191-203] is restricted to the DF type test, which is based on the conditional likelihood function discarding the first observation. © Elsevier Science S.A.

Publication Date

1-1-2000

Publication Title

Economics Letters

Volume

68

Issue

1

Number of Pages

7-11

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1016/s0165-1765(00)00213-5

Socpus ID

0034410705 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/0034410705

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