Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1147503 | Journal of Statistical Planning and Inference | 2012 | 8 Pages |
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.
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Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Mauro Costantini, Amit Sen,