A note on the asymptotic distribution of a Perron-type innovational outlier unit root test with a break

作者：Costantini Mauro; Popp Stephan^*

来源：Statistical Papers, 2011, 52(3): 677-682.

DOI：10.1007/s00362-009-0276-y

• Unit root tests
• Structural break
• Asymptotic distributions

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.

• 出版日期2011-8