کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5096285 1376516 2013 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Testing for a break in trend when the order of integration is unknown
ترجمه فارسی عنوان
تست برای شکستن روند زمانی که دستور ادغام ناشناخته است
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 176, Issue 1, September 2013, Pages 30-45
نویسندگان
, , ,