Title

Break Point Estimation And Spurious Rejections With Endogenous Unit Root Tests

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 (TB - 1) the true break point (TB), 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 Bt in Perron's (1989) exogenous test.

Publication Date

1-1-2001

Publication Title

Oxford Bulletin of Economics and Statistics

Volume

63

Issue

5

Number of Pages

535-558

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1111/1468-0084.00234

Socpus ID

0035737164 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/0035737164

This document is currently not available here.

Share

COinS