Unit root tests with a break in innovation variance

Tae Hwan Kim; Stephen Leybourne; Paul Newbold

doi:10.1016/S0304-4076(02)00118-5

Unit root tests with a break in innovation variance

Tae Hwan Kim, Stephen Leybourne, Paul Newbold

Department of Economics

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

81 Citations (Scopus)

Abstract

The unit root tests with a break in innovation variance were discussed. It was found that an abrupt change in the innovation variance of an integrated process can generate spurious rejections of the unit root null hypothesis in routine applications of Dickey-Fuller tests. The t-ratio for testing ρ = 1 was elaborated. The modified test statistics based on unit root tests of Perron for a time series with a changing level or changing intercept was also devleoped.

Original language	English
Pages (from-to)	365-387
Number of pages	23
Journal	Journal of Econometrics
Volume	109
Issue number	2
DOIs	https://doi.org/10.1016/S0304-4076(02)00118-5
Publication status	Published - 2002 Aug

All Science Journal Classification (ASJC) codes

Economics and Econometrics

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10.1016/S0304-4076(02)00118-5

Cite this

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Unit root tests with a break in innovation variance

Abstract

All Science Journal Classification (ASJC) codes

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