Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9555303 | Journal of Econometrics | 2005 | 24 Pages |
Abstract
This paper studies the behavior of the Perron-type tests under an erroneous determination of the type of break. Our theoretical results prove that this kind of error may induce the researcher to incorrectly infer the time properties of the variable being studied. These asymptotic results are also observed in finite samples, as confirmed by various Monte Carlo exercises.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Antonio Montañés, Irene Olloqui, Elena Calvo,