Tests for a Break in Level when the Order of Integration is Unknown

B-Tier
Journal: Oxford Bulletin of Economics and Statistics
Year: 2004
Volume: 66
Issue: 1
Pages: 133-146

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

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

Abstract

In this paper, we consider tests for a break in the level of a series at an unknown point in time. It is often the case that uncertainty exists concerning the order of integration of the series; consequently, we focus on tests that are applicable when the order of integration is not known. The size and power of existing tests are analysed, and a modification to one of the established sets of tests is proposed which offers improved performance in certain circumstances.

Technical Details

RePEc Handle
repec:bla:obuest:v:66:y:2004:i:1:p:133-146
Journal Field
General
Author Count
3
Added to Database
2026-01-25