Spurious rejections by Perron tests in the presence of a break

Article Abstract:

Perron interpretation of Dickey-Fuller tests of a stationary generating process with a break is offered. Additional information on Perron tests is also included.

Econometrics & Model Building, Models, Econometrics, Economic research, Mathematical models, Business models

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Innovational outlier unit root tests with an endogenously determined break in level

Article Abstract:

This paper shows how in standard unit root tests, spurious rejections of large breaks occurring under the null hypothesis can be corrected with a simple modification in the test procedure.

United Kingdom, Research and Development in the Physical, Engineering, and Life Sciences, Statistics, Standards, Statistical Data Included, Statistics (Data), Tests, Statistics (Mathematics)

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

Article Abstract:

The article proposes a modification to established sets of tests to improve performance in specified circumstances.

Product information, Comparative analysis, Econometric models

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