Costs of misspecification in break-model unit-root tests

dc.contributor.author	Maican, Florin G.
dc.contributor.author	Sweeney, R.J.
dc.date.accessioned	2012-08-27T14:04:59Z
dc.date.available	2012-08-27T14:04:59Z
dc.date.issued	2012-08
dc.identifier.issn	1403-2465
dc.identifier.uri	http://hdl.handle.net/2077/30147
dc.description	JEL classification: C15; C22; C32; C33; E31; F31	sv
dc.description.abstract	This paper examines power issues for the ADF and four break models (Perron 1989, Zivot and Andrews 1992) when the DGP corresponds to one of the break models. Choosing to test an incorrect break model can but need not greatly reduce the probability of rejecting the null. Break points that are relatively early in the sample period have substantial effects of increasing power. For modest shifts in time trends, simply including a time trend without shift in the model preserves power, but not for large time-trend shifts.	sv
dc.format.extent	18 pages	sv
dc.language.iso	eng	sv
dc.relation.ispartofseries	Working Papers in Economics	sv
dc.relation.ispartofseries	536	sv
dc.subject	unit root	sv
dc.subject	Monte Carlo	sv
dc.subject	break models	sv
dc.title	Costs of misspecification in break-model unit-root tests	sv
dc.type	Text	sv
dc.type.svep	report	sv
dc.contributor.organization	Dept of Economics	sv