Harvey, David I and Leybourne, Stephen J and Robert Taylor, AM (2014) Unit Root Testing under a Local Break in Trend using Partial Information on the Break Date*. Oxford Bulletin of Economics and Statistics, 76 (1). pp. 93-111. DOI https://doi.org/10.1111/obes.12013
Harvey, David I and Leybourne, Stephen J and Robert Taylor, AM (2014) Unit Root Testing under a Local Break in Trend using Partial Information on the Break Date*. Oxford Bulletin of Economics and Statistics, 76 (1). pp. 93-111. DOI https://doi.org/10.1111/obes.12013
Harvey, David I and Leybourne, Stephen J and Robert Taylor, AM (2014) Unit Root Testing under a Local Break in Trend using Partial Information on the Break Date*. Oxford Bulletin of Economics and Statistics, 76 (1). pp. 93-111. DOI https://doi.org/10.1111/obes.12013
Abstract
<jats:title>Abstract</jats:title><jats:p>We consider unit root testing allowing for a break in trend when partial information is available regarding the location of the break date. This takes the form of knowledge of a relatively narrow window of data within which the break takes place, should it occur at all. For such circumstances, we suggest employing a union of rejections strategy, which combines a unit root test that allows for a trend break somewhere within the window with a unit root test that makes no allowance for a trend break. Asymptotic and finite sample evidence shows that our suggested strategy works well, provided that, when a break does occur, the partial information is correct. An empirical application to UK interest rate data containing the 1973 ‘oil shock’ is also considered.</jats:p>
Item Type: | Article |
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Subjects: | H Social Sciences > HG Finance |
Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Essex Business School |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 17 Nov 2014 13:02 |
Last Modified: | 30 Oct 2024 16:13 |
URI: | http://repository.essex.ac.uk/id/eprint/11241 |