离群值
系列(地层学)
蒙特卡罗方法
单位根
单位根检验
数学
统计
增强Dickey-Fuller测试
结构断裂
计算机科学
算法
地质学
协整
古生物学
作者
Paresh Kumar Narayan,Stephan Popp
标识
DOI:10.1080/02664760903039883
摘要
In this paper, we propose a new augmented Dickey–Fuller-type test for unit roots which accounts for two structural breaks. We consider two different specifications: (a) two breaks in the level of a trending data series and (b) two breaks in the level and slope of a trending data series. The breaks whose time of occurrence is assumed to be unknown are modeled as innovational outliers and thus take effect gradually. Using Monte Carlo simulations, we show that our proposed test has correct size, stable power, and identifies the structural breaks accurately.
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