Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time
Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time
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允许趋势函数在未知时间中断的单位根的附加测试
DOI：
10.2307/2527353
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发表时间：
1998
影响因子：
6.3
通讯作者：
Pierre Perron
中科院分区：
文献类型：
--
作者：
T. Vogelsang;Pierre Perron
作者认为单位根测试，允许在一个未知的时间趋势的转变。他们专注于添加剂离群值的方法，但也给创新离群值的方法的结果。考虑了选择中断日期的各种方法。新的极限分布的推导，包括单位根零假设下发生的趋势转移的情况。极限分布对于均值漂移是不变的，但对于斜率漂移不是。模拟用于评估有限样本量和功效。作者重点讨论了空值下中断的影响和中断日期的选择。1998年由宾夕法尼亚大学经济系和大坂大学社会经济研究协会版权所有。(This摘要是从本条目的另一个版本中借用的。）(This摘要是从本条目的另一个版本中借用的。）(This摘要是从本条目的另一个版本中借用的。）(This摘要是从本条目的另一个版本中借用的。）(This摘要是从本条目的另一个版本中借用的。）(This摘要是从本条目的另一个版本中借用的。）(This摘要是从本条目的另一个版本中借用的。）(This摘要是从本条目的另一个版本中借用的。）(This摘要是从本条目的另一个版本中借用的。）(This摘要是从本条目的另一个版本中借用的。）(This摘要是从本条目的另一个版本中借用的。）(This摘要是从本条目的另一个版本中借用的。）(This摘要是从本条目的另一个版本中借用的。）(This摘要是从本条目的另一个版本中借用的。）(This摘要是从本条目的另一个版本中借用的。）(Thi（本摘要是从该项目的另一个版本中借用的。
The authors consider unit root tests that allow a shift in trend at an unknown time. They focus on the additive outlier approach but also give results for the innovational outlier approach. Various methods of choosing the break date are considered. New limiting distributions are derived, including the case where a shift in trend occurs under the unit root null hypothesis. Limiting distributions are invariant to mean shifts but not to slope shifts. Simulations are used to assess finite sample size and power. The authors focus on the effects of a break under the null and the choice of break date. Copyright 1998 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association. (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (Thi (This abstract was borrowed from another version of this item.)