scholarly journals Unit Root Testing Against the Alternative Hypothesis of up to m Structural Breaks

2003 ◽  
Author(s):  
George Kapetanios
Keyword(s):  
Unit Root ◽  
Structural Breaks ◽  
Alternative Hypothesis ◽  
Unit Root Testing

scholarly journals Smooth Break Detection and De-Trending in Unit Root Testing

Mathematics ◽  
2021 ◽  
Vol 9 (4) ◽  
pp. 371
Author(s):  
Furkan Emirmahmutoglu ◽  
Tolga Omay ◽  
Syed Jawad Hussain Shahzad ◽  
Safwan Mohd Nor
Keyword(s):  
Unit Root ◽  
Structural Breaks ◽  
Structural Break ◽  
Unit Root Tests ◽  
Smooth Transition ◽  
Unit Root Testing ◽  
Augmented Dickey Fuller ◽  
Power Comparisons ◽  
Fourier Function ◽  
Unexpected Outcomes

This study explores the methods to de-trend the smooth structural break processes while conducting the unit root tests. The two most commonly applied approaches for modelling smooth structural breaks namely the smooth transition and the Fourier functions are considered. We perform a sequence of power comparisons among alternative unit root tests that accommodate smooth or sharp structural breaks. The power experiments demonstrate that the unit root tests utilizing the Fourier function lead to unexpected results. Furthermore, through simulation studies, we investigate the source of such unexpected outcomes. Moreover, we provide the asymptotic distribution of two recently proposed unit root tests, namely Fourier-Augmented Dickey–Fuller (FADF) and Fourier-Kapetanios, Shin and Shell (FKSS), which are not given in the original studies. Lastly, we find that the selection of de-trending function is pivotal for unit root testing with structural breaks.

Fiscal sustainability test: The case of Turkey

2016 ◽  
Author(s):  
Mücahit Aydın ◽  
Veli Yılancı
Keyword(s):  
Unit Root ◽  
Structural Breaks ◽  
Alternative Hypothesis ◽  
Unit Root Test ◽  
Fiscal Sustainability ◽  
Fiscal Policies ◽  
Test Results ◽  
Turkish Economy ◽  
Income Ratio

The main purpose of the study is to test the sustainability of fiscal policies for Turkish economy using quarterly series over the period 2000:1 to 2015:2. By considering Kremers (1989) sustainability condition we test the debt-income ratio by using Lee-Strazicich unit root test which allow structural breaks under both null and alternative hypothesis. The test results we obtained show that the series has a unit root which indicates the un-sustainability of public debt.Keywords: Fiscal policies, Fiscal Sustainability, Unit root test  

GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES

2009 ◽  
Vol 25 (6) ◽  
pp. 1754-1792 ◽  
Author(s):  
Josep Lluís Carrion-i-Silvestre ◽  
Dukpa Kim ◽  
Pierre Perron
Keyword(s):  
Unit Root ◽  
Structural Breaks ◽  
Alternative Hypothesis ◽  
Generalized Least Squares ◽  
Unit Root Tests ◽  
Power Functions ◽  
Trend Function ◽  
Economic Statistics ◽  
Local Asymptotic Power ◽  
Alternative Hypotheses

Perron (1989, Econometrica 57, 1361–1401) introduced unit root tests valid when a break at a known date in the trend function of a time series is present. In particular, they allow a break under both the null and alternative hypotheses and are invariant to the magnitude of the shift in level and/or slope. The subsequent literature devised procedures valid in the case of an unknown break date. However, in doing so most research, in particular the commonly used test of Zivot and Andrews (1992, Journal of Business & Economic Statistics 10, 251–270), assumed that if a break occurs it does so only under the alternative hypothesis of stationarity. This is undesirable for several reasons. Kim and Perron (2009, Journal of Econometrics 148, 1–13) developed a methodology that allows a break at an unknown time under both the null and alternative hypotheses. When a break is present, the limit distribution of the test is the same as in the case of a known break date, allowing increased power while maintaining the correct size. We extend their work in several directions: (1) we allow for an arbitrary number of changes in both the level and slope of the trend function; (2) we adopt the quasi–generalized least squares detrending method advocated by Elliott, Rothenberg, and Stock (1996, Econometrica 64, 813–836) that permits tests that have local asymptotic power functions close to the local asymptotic Gaussian power envelope; (3) we consider a variety of tests, in particular the class of M-tests introduced in Stock (1999, Cointegration, Causality, and Forecasting: A Festschrift for Clive W.J. Granger) and analyzed in Ng and Perron (2001, Econometrica 69, 1519–1554).

scholarly journals Is It the Natural Rate Hypothesis or the Hysteresis Hypothesis for Unemployment Rates in Newly Industrialized Economies?

2019 ◽  
Vol 22 (4) ◽  
pp. 39-55
Author(s):  
Dieu Nsenga ◽  
Mirada Nach ◽  
Hlalefang Khobai ◽  
Clement Moyo ◽  
Andrew Phiri
Keyword(s):  
Unit Root ◽  
Structural Breaks ◽  
The Philippines ◽  
Unit Root Tests ◽  
Natural Rate ◽  
Unemployment Rates ◽  
Quarterly Data ◽  
Testing Procedures ◽  
Unit Root Testing ◽  
Conventional Unit

The focus of our study is on determining whether unemployment rates in 8 New Industrialized Economies conform to the natural rate hypothesis or the hysteresis hypothesis. To this end, we employ a variety of unit of unit root testing procedures to quarterly data collected between 2002:q1 and 2017:q1. Summarizing of our findings, conventional unit root tests which account neither for asymmetries nor structural breaks produce the most inconclusive results. On the other hand, tests which incorporate structural breaks while ignoring asymmetries tends to favour the natural rate hypothesis for our panel of countries. However, simultaneously accounting for asymmetries and unobserved structural breaks seemingly produces the most robust findings and confirms hysteresis in all unemployment rates except for Asian economies/countries of Thailand and the Philippines.

scholarly journals Characterizing growth instability: new evidence on unit roots and structural breaks in countries’ long run trajectories

2021 ◽  
Author(s):  
Emanuele Russo ◽  
Neil Foster-McGregor
Keyword(s):  
Unit Root ◽  
Structural Breaks ◽  
Structural Changes ◽  
Alternative Hypothesis ◽  
Unit Root Test ◽  
Unit Roots ◽  
Finite Sample ◽  
Aggregate Shocks ◽  
Long Run ◽  
Finite Sample Properties

AbstractIn this paper we investigate whether long run time series of income per capita are better described by a trend-stationary model with few structural changes or by unit root processes in which permanent stochastic shocks are responsible for the observed growth discontinuities. For a group of advanced and developing countries in the Maddison database, we employ a unit root test that allows for an unspecified number of breaks under the alternative hypothesis (up to some ex ante determined maximum). Monte Carlo simulations studying the finite sample properties of the test are reported and discussed. When compared with previous findings in the literature, our results show less evidence against the unit root hypothesis. We find even fewer rejections when relaxing the assumption of Gaussian shocks. Our results are broadly consistent with the implications of evolutionary macro models which posit frequent growth shifts and fat-tailed distribution of aggregate shocks.

Sign in / Sign up

Export Citation Format

Share Document