Over-rejections by the weighted symmetric unit root test in multiple structural breaks

References

• Cook , S . 2002 . Correcting size distortion of the Dickey--Fuller test via recursive mean adjustment . Statistics & Probability Letters , 60 : 75 – 9 .
   Web of Science ®Google Scholar
• Cook , S . 2004 . Finite-sample properties of modified unit root tests in the presence structural change . Applied Mathematics and Computation , 149 : 625 – 40 .
   Web of Science ®Google Scholar
• Lee , J . 2000 . On the end-point issue in unit root tests in the presence of a structural break . Economics Letters , 68 : 7 – 11 .
   Web of Science ®Google Scholar
• Lee , J and Strazicich , MC . 2003 . Minimum Lagrange multiplier unit root test with two structural breaks . The Review of Economics and Statistics , 85 : 1082 – 9 .
   Web of Science ®Google Scholar
• Leybourne , SJ , Mills , TC and Newbold , P . 1998 . Spurious rejection by Dickey–Fuller tests in the presence of a break under the null . Journal of Econometrics , 87 : 191 – 203 .
   Web of Science ®Google Scholar
• Leybourne , SJ and Newbold , P . 2000a . Behaviour of Dickey--Fuller t-tests when there is a break under the alternative hypothesis . Econometric Theory , 16 : 779 – 89 .
   Web of Science ®Google Scholar
• Leybourne , SJ and Newbold , P . 2000b . Behaviour of the standard and symmetric Dickey–Fuller-type tests when there is a break under the null hypothesis . Econometric Journal , 3 : 1 – 15 .
   Google Scholar
• Lumsdaine , RL and Papell , DH . 1997 . Multiple trend breaks and the unit-root hypothesis . The Review of Economics and Statistics , 79 : 212 – 8 .
   Web of Science ®Google Scholar
• Montanes , A and Reyes , M . 1998 . Effect of a shift in the trend function on Dickey–Fuller unit root tests . Econometric Theory , 14 : 355 – 63 .
   Web of Science ®Google Scholar
• Montanes , A and Reyes , M . 1999 . The asymptotic behaviour of the Dickey–Fuller tests under the crash hypothesis . Statistics and Probability Letters , 42 : 81 – 9 .
   Web of Science ®Google Scholar
• Pantula , SG , Gonzalez-Farias , G and Fuller , WA . 1994 . A comparison of unit-root test criteria . Journal of Business & Economic Statistics , 12 : 449 – 59 .
   Web of Science ®Google Scholar
• Park , HJ and Fuller , WA . 1995 . Alternative estimators and unit root tests for the autoregressive process . Journal of Time Series Analysis , 16 : 415 – 29 .
   Google Scholar
• Patterson , K and Heravi , S . 2003 . Weighted symmetric tests for a unit root: Response functions, power, test dependence and test conflict . Applied Economics , 35 : 779 – 90 .
   Web of Science ®Google Scholar
• Perron , P . 1989 . The great crash, the oil price shock, and the unit root hypothesis . Econometrica , 57 : 1361 – 401 .
   Web of Science ®Google Scholar
• Sen , A . 2001 . Behaviour of Dickey--Fuller F-tests under the trend-break stationary alternative . Statistics and Probability Letters , 55 : 257 – 68 .
   Web of Science ®Google Scholar