Tests for Stationarity in Series with Endogenously Determined Structural Change*

David I. Harvey · Terence C. Mills

32 citations0/0 files storedOxford Bulletin of Economics and Statistics

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Monetary Policy and Economic Impact Unemployment and Economic Growth Diverse Scientific and Economic Studies

Abstract

Abstract We consider tests of the null hypothesis of stationarity against a unit root alternative, when the series is subject to structural change at an unknown point in time. Three extant tests are reviewed which allow for an endogenously determined instantaneous structural break, and a related fourth procedure is introduced. We further propose tests which permit the structural change to be gradual rather than instantaneous, allowing the null hypothesis to be stationarity about a smooth transition in linear trend. The size and power properties of the tests are investigated, and the tests are applied to four economic time series.

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1992Testing the null hypothesis of stationarity against the alternative of a unit root 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis 1988Tests For Unit Roots: A Monte Carlo Investigation 1998Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time 1989Tests for Unit Roots: A Monte Carlo Investigation

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2017Unit Roots and Structural Breaks 2016Finite Sample Critical Values of the Generalized KPSS Stationarity Test 2010Stationarity testing under nonlinear models. Some asymptotic results

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