Iacone, Fabrizio and Leybourne, Stephen J and Robert Taylor, AM (2013) Testing for a break in trend when the order of integration is unknown. Journal of Econometrics, 176 (1). pp. 30-45. DOI https://doi.org/10.1016/j.jeconom.2013.03.008
Iacone, Fabrizio and Leybourne, Stephen J and Robert Taylor, AM (2013) Testing for a break in trend when the order of integration is unknown. Journal of Econometrics, 176 (1). pp. 30-45. DOI https://doi.org/10.1016/j.jeconom.2013.03.008
Iacone, Fabrizio and Leybourne, Stephen J and Robert Taylor, AM (2013) Testing for a break in trend when the order of integration is unknown. Journal of Econometrics, 176 (1). pp. 30-45. DOI https://doi.org/10.1016/j.jeconom.2013.03.008
Abstract
Harvey, Leybourne and Taylor [Harvey, D.I., Leybourne, S.J., Taylor, A.M.R. 2009. Simple, robust and powerful tests of the breaking trend hypothesis. Econometric Theory 25, 995-1029] develop a test for the presence of a broken linear trend at an unknown point in the sample whose size is asymptotically robust as to whether the (unknown) order of integration of the data is either zero or one. This test is not size controlled, however, when this order assumes fractional values; its asymptotic size can be either zero or one in such cases. In this paper we suggest a new test, based on a sup-Wald statistic, which is asymptotically size-robust across fractional values of the order of integration (including zero or one). We examine the asymptotic power of the test under a local trend break alternative. The finite sample properties of the test are also investigated. © 2013 Elsevier B.V. All rights reserved.
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 12:59 |
Last Modified: | 16 May 2024 17:18 |
URI: | http://repository.essex.ac.uk/id/eprint/11245 |