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:    A simple modification of the Busetti-Harvey stationarity tests with structural breaks at unknown time
Abstract:  In this paper a modification of the Busetti and Harvey (2001) test with structural break at unknown time is proposed. As the stationarity test with a super-consistent break date estimator is effective under large breaks and the infimum-test is effective under small breaks, although it has serious size distortions under large breaks, we propose a simple decision rule based on pre-testing for the presence of a break. The proposed modification shows good size properties. Also, an extension for the case of multiple structural breaks is proposed
Length:  8 pages
Creation-Date: 2014
Revision-Date:   2014
Classification-JEL: C12, C22.
Keywords:  KPSS test, in mum test, size distortion, power, pre-testing, structural breaks
File-URL: https://www.iep.ru/files/RePEc/gai/wpaper/0102Skrobotov.pdf
File-Format: Application/pdf
File-Function: Revised version, 2014
Handle: RePEc:gai:wpaper:0102