Template-Type: ReDIF-Paper 1.0
Author-Name: Anton Skrobotov
Author-Name-First: Anton     
Author-Name-Last:  Skrobotov
Author-Workplace-Name: Gaidar Institute for Economic Policy
Title:Trend and initial condition in stationarity tests: the asymptotic analysis
Abstract: In this paperwe investigate the behavior of stationarity tests proposed by Muller (2005) and Harris et al. (2007) with uncertainty over the trend and/or initial condition. As dierent tests are e cient for dierent magnitudes of local trend and initial condition, following Harvey et al. (2012) we propose decision rule based on the rejection of null hypothesis for multiple tests. Additionally, we propose a modi cation of this decision rule, relying on additional information about the magnitudes of the local trend and/or the initial condition that is obtained through pre-testing. The resulting modification has satisfactory size properties under both uncertainty types. 
Length:20 pages
Creation-Date: 2012
Revision-Date:   2013
Classification-JEL:C12, C22
Keywords:Stationarity test, KPSS test, uncertainty over the trend, uncertainty over the initial condition, size distortion, intersection of rejection decision rule.
File-URL: https://www.iep.ru/files/RePEc/gai/wpaper/0048Skrobotov.pdf
File-Format: Application/pdf
File-Function: Revised version, 2012
Handle: RePEc:gai:wpaper:0048