Joint Detection of Structural Change and Nonstationarity in Autoregressions

Pitarakis, Jean-Yves (2011): Joint Detection of Structural Change and Nonstationarity in Autoregressions.

Abstract

In this paper we develop a test of the joint null hypothesis of parameter stability and a unit root within an ADF style autoregressive specification whose entire parameter structure is potentially subject to a structural break at an unknown time period. The maintained underlying null model is a linear autoregression with a unit root, stationary regressors and a constant term. As a byproduct we also obtain the limiting behaviour of a related Wald statistic designed to solely test the null of parameter stability in an environment with a unit root. These distributions are free of nuisance parameters and easily tabulated. The finite sample properties of our tests are subsequently assessed through a series of simulations.

• Item Type: MPRA Paper
• Language: English
• Keywords: Structural Breaks, Unit Roots, Nonlinear Dynamics
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C10 - General; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes

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