Innovational Outlier Unit Root Tests With an Endogenously Determined Break in Level

B-Tier
Journal: Oxford Bulletin of Economics and Statistics
Year: 2001
Volume: 63
Issue: 5
Pages: 559-575

Authors (3)

David I. Harvey (University of Nottingham) Stephen J. Leybourne (not in RePEc) Paul Newbold (not in RePEc)

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

We show that a standard unit root test that permits an endogenously determined break in level can generate spurious rejections in practically interesting sample sizes when a large break occurs under the null hypothesis. This problem, which occurs for breaks of the innovational outlier type, can be corrected through a simple modification of the test procedure.

Technical Details

RePEc Handle
repec:bla:obuest:v:63:y:2001:i:5:p:559-575
Journal Field
General
Author Count
3
Added to Database
2026-01-25