Article ID Journal Published Year Pages File Type
1147503 Journal of Statistical Planning and Inference 2012 8 Pages PDF
Abstract
In this paper, we derive the asymptotic distribution of Popp's (2008) innovational outlier unit root test for trending series with a break. The results of Zivot and Andrews (1992) are applied to provide the limiting results of these new test statistics. We tabulate their asymptotic and finite sample critical values, and illustrate the use of the new statistics with an application to the unemployment rate series for 23 OECD countries.
Related Topics
Physical Sciences and Engineering Mathematics Applied Mathematics
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