This note provides the asymptotic distribution of a Perron-type innovational outlier unit root test developed by Popp (J Stat Comput Sim 78:1145–1161, 2008) in case of a shift in the intercept for non-trending data. In Popp (J Stat Comput Sim 78:1145–1161, 2008), only critical values for finite samples based on Monte Carlo techniques are tabulated. Using similar arguments as in Zivot and Andrews (J Bus Econ Stat 10:251–270, 1992), weak convergence is shown for the test statistics.
A note on the asymptotic distribution of a perron-type innovational outlier unit root tests with a break / Costantini, M; Popp, S. - In: STATISTICAL PAPERS. - ISSN 0932-5026. - 52:(2011), pp. 677-682. [10.1007/s00362-009-0276-y]
A note on the asymptotic distribution of a perron-type innovational outlier unit root tests with a break
COSTANTINI M;
2011
Abstract
This note provides the asymptotic distribution of a Perron-type innovational outlier unit root test developed by Popp (J Stat Comput Sim 78:1145–1161, 2008) in case of a shift in the intercept for non-trending data. In Popp (J Stat Comput Sim 78:1145–1161, 2008), only critical values for finite samples based on Monte Carlo techniques are tabulated. Using similar arguments as in Zivot and Andrews (J Bus Econ Stat 10:251–270, 1992), weak convergence is shown for the test statistics.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
