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

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Abstract

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.

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References

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Authors and Affiliations

  1. Department of Economics, University of Vienna, BWZ, Bruenner Strasse 72, 1210, Vienna, Austria

    Mauro Costantini

  2. Department of Statistics and Econometrics, University of Duisburg-Essen, 45117, Essen, Germany

    Stephan Popp

Authors
  1. Mauro Costantini
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  2. Stephan Popp
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Correspondence to Stephan Popp.

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Costantini, M., Popp, S. A note on the asymptotic distribution of a Perron-type innovational outlier unit root test with a break. Stat Papers 52, 677–682 (2011). https://doi.org/10.1007/s00362-009-0276-y

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  • DOI: https://doi.org/10.1007/s00362-009-0276-y

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