Size and power of two recent unit root tests that allow for structural breaks
(2017) NEKN01 20171Department of Economics
- Abstract
- This paper examines the properties of the two recent structural break unit root tests developed in Harvey, Leybourne and Taylor (2013) and Narayan and Popp (2010). The properties are investigated by Monte Carlo simulations in an environment where two trend breaks of small to large magnitudes are present. We find that the Harvey, Leybourne and Taylor (2013) test has superior size and power properties compared to the Narayan and Popp (2010) test. In addition, we investigate the accuracy of the break detection of the two procedures. The results show that the former test is more accurate than the later test except for when the breaks are very large and the null is true.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8911827
- author
- Nordström, Marcus LU
- supervisor
- organization
- course
- NEKN01 20171
- year
- 2017
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Unit root test, Structural breaks, Multiple trend breaks, Endogenous breaks, Monte Carlo simulations
- language
- English
- id
- 8911827
- date added to LUP
- 2017-07-10 13:53:10
- date last changed
- 2017-07-10 13:53:10
@misc{8911827, abstract = {{This paper examines the properties of the two recent structural break unit root tests developed in Harvey, Leybourne and Taylor (2013) and Narayan and Popp (2010). The properties are investigated by Monte Carlo simulations in an environment where two trend breaks of small to large magnitudes are present. We find that the Harvey, Leybourne and Taylor (2013) test has superior size and power properties compared to the Narayan and Popp (2010) test. In addition, we investigate the accuracy of the break detection of the two procedures. The results show that the former test is more accurate than the later test except for when the breaks are very large and the null is true.}}, author = {{Nordström, Marcus}}, language = {{eng}}, note = {{Student Paper}}, title = {{Size and power of two recent unit root tests that allow for structural breaks}}, year = {{2017}}, }