In this paper, we derive the asymptotic distribution of Popp's (2008) innovational outlier unit root test for trending series with a break. The results of Zivot and Andrews (1992) are applied to provide the limiting results of these new test statistics. We tabulate their asymptotic and finite sample critical values, and illustrate the use of the new statistics with an application to the unemployment rate series for 23 OECD countries.
On the Asymptotic Distribution of a Simple Test for Trending and Breaking Series / Costantini, M; Sen, A. - In: JOURNAL OF STATISTICAL PLANNING AND INFERENCE. - ISSN 0378-3758. - 142:(2012), pp. 1690-1697. [10.1016/j.jspi.2012.02.036]
On the Asymptotic Distribution of a Simple Test for Trending and Breaking Series
COSTANTINI M;
2012
Abstract
In this paper, we derive the asymptotic distribution of Popp's (2008) innovational outlier unit root test for trending series with a break. The results of Zivot and Andrews (1992) are applied to provide the limiting results of these new test statistics. We tabulate their asymptotic and finite sample critical values, and illustrate the use of the new statistics with an application to the unemployment rate series for 23 OECD countries.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
