Unit root testing under a local break in trend using partial information on the break date*
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 su...
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| Format: | Article |
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Wiley
2014
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| Online Access: | https://eprints.nottingham.ac.uk/32660/ |
| _version_ | 1848794461086154752 |
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| author | Harvey, David I. Leybourne, Stephen J. Robert Taylor, A.M. |
| author_facet | Harvey, David I. Leybourne, Stephen J. Robert Taylor, A.M. |
| author_sort | Harvey, David I. |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | 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 _nite 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. |
| first_indexed | 2025-11-14T19:16:33Z |
| format | Article |
| id | nottingham-32660 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| last_indexed | 2025-11-14T19:16:33Z |
| publishDate | 2014 |
| publisher | Wiley |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-326602020-05-04T20:15:20Z https://eprints.nottingham.ac.uk/32660/ Unit root testing under a local break in trend using partial information on the break date* Harvey, David I. Leybourne, Stephen J. Robert Taylor, A.M. 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 _nite 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. Wiley 2014-02 Article PeerReviewed Harvey, David I., Leybourne, Stephen J. and Robert Taylor, A.M. (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. ISSN 1468-0084 Unit root test; Breaks in trend; Minimum Dickey-Fuller test; Local GLS detrending; Union of rejections http://onlinelibrary.wiley.com/doi/10.1111/obes.12013/abstract doi:10.1111/obes.12013 doi:10.1111/obes.12013 |
| spellingShingle | Unit root test; Breaks in trend; Minimum Dickey-Fuller test; Local GLS detrending; Union of rejections Harvey, David I. Leybourne, Stephen J. Robert Taylor, A.M. Unit root testing under a local break in trend using partial information on the break date* |
| title | Unit root testing under a local break in trend using partial information on the break date* |
| title_full | Unit root testing under a local break in trend using partial information on the break date* |
| title_fullStr | Unit root testing under a local break in trend using partial information on the break date* |
| title_full_unstemmed | Unit root testing under a local break in trend using partial information on the break date* |
| title_short | Unit root testing under a local break in trend using partial information on the break date* |
| title_sort | unit root testing under a local break in trend using partial information on the break date* |
| topic | Unit root test; Breaks in trend; Minimum Dickey-Fuller test; Local GLS detrending; Union of rejections |
| url | https://eprints.nottingham.ac.uk/32660/ https://eprints.nottingham.ac.uk/32660/ https://eprints.nottingham.ac.uk/32660/ |