Joint Detection of Structural Change and Nonstationarity in Autoregressions

14 Pages Posted: 1 Mar 2011

See all articles by Jean-Yves Pitarakis

Jean-Yves Pitarakis

University of Southampton - Division of Economics

Date Written: February 20, 2011

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.

Keywords: Structural Breaks, Unit Roots, Nonlinear Dynamics

JEL Classification: C22, C32

Suggested Citation

Pitarakis, Jean-Yves, Joint Detection of Structural Change and Nonstationarity in Autoregressions (February 20, 2011). Available at SSRN: https://ssrn.com/abstract=1772004 or http://dx.doi.org/10.2139/ssrn.1772004

Jean-Yves Pitarakis (Contact Author)

University of Southampton - Division of Economics ( email )

Southampton, SO17 1BJ
United Kingdom
+44-23-80592631 (Phone)
+44-23-80593858 (Fax)

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
18
Abstract Views
287
PlumX Metrics