Costs of misspecification in break-model unit-root tests

C-Tier
Journal: Applied Economics
Year: 2014
Volume: 46
Issue: 1
Pages: 111-118

Authors (2)

Florin G. Maican (Göteborgs Universitet) Richard J. Sweeney (not in RePEc)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This article examines power issues for the ADF and four break models (Perron, 1989; Zivot and Andrews, 1992) when the DGP corresponds to one of the break models. Choosing to test an incorrect break model can, but need not, greatly reduce the probability of rejecting the null. Break points that are relatively early in the sample period have substantial effects of increasing power. For modest shifts in time trends, simply including a time trend without shift in the model preserves power, but not for large time-trend shifts.

Technical Details

RePEc Handle
repec:taf:applec:v:46:y:2014:i:1:p:111-118
Journal Field
General
Author Count
2
Added to Database
2026-01-25