Unit root tests based on IV estimators for time series with multiple breaks

Dong Wan Shin

doi:10.1016/j.jkss.2007.10.001

Unit root tests based on IV estimators for time series with multiple breaks

Dong Wan Shin

Department of Statistics

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

Unit root tests are developed for multiple break time series. The tests, being based on an instrumental variable estimator and recursive mean adjustment, have standard Gaussian null asymptotics regardless of the number of breaks, which is not shared by other existing tests. A Monte-Carlo experiment shows that the proposed tests have stable sizes and reasonable powers.

Original language	English
Pages (from-to)	23-28
Number of pages	6
Journal	Journal of the Korean Statistical Society
Volume	37
Issue number	1
DOIs	https://doi.org/10.1016/j.jkss.2007.10.001
State	Published - Mar 2008

Bibliographical note

Funding Information:
This work was supported by the Korea Research Foundation Grant funded by the Korean Government (MOEHRD, Basic Research Promotion Fund) (KRF-2006-312-C00076).

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10.1016/j.jkss.2007.10.001

Cite this

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abstract = "Unit root tests are developed for multiple break time series. The tests, being based on an instrumental variable estimator and recursive mean adjustment, have standard Gaussian null asymptotics regardless of the number of breaks, which is not shared by other existing tests. A Monte-Carlo experiment shows that the proposed tests have stable sizes and reasonable powers.",

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Unit root tests based on IV estimators for time series with multiple breaks

Abstract

Bibliographical note

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