Spurious Rejections by Perron Tests in the Presence of a Break

B-Tier
Journal: Oxford Bulletin of Economics and Statistics
Year: 2000
Volume: 62
Issue: 3
Pages: 433-444

Authors (3)

Tae‐Hwan Kim (Yonsei University) 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

In this paper, we concentrate on the case of an exogeneously chosen break date, but entertain the possibility that an incorrect choice is made. In fact, the Perron test statistics considered are invariant to any break in the generating process at the assumed break date. Our results therefore apply equally to the case of a generating process with two breaks, only one of which is specifically accounted for in the analysis. As in Leybourne et al. (1998), we find that a neglected relatively early break can lead to spurious rejections of the unit root null hypothesis. Moreover, for all but one of the tests analyzed, spurious rejections now also arise if a true break occurs relatively soon after the assumed break date.

Technical Details

RePEc Handle
repec:bla:obuest:v:62:y:2000:i:3:p:433-444
Journal Field
General
Author Count
3
Added to Database
2026-01-25