Unit root tests with a break in innovation variance

Tae Hwan Kim, Stephen Leybourne, Paul Newbold

Research output: Contribution to journalArticle

71 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 languageEnglish
Pages (from-to)365-387
Number of pages23
JournalJournal of Econometrics
Volume109
Issue number2
DOIs
Publication statusPublished - 2002 Aug 1

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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