Unit Root Tests with structural breaks

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AfonsoRod
Posts: 40
Joined: Wed May 31, 2017 7:37 am

Unit Root Tests with structural breaks

Postby AfonsoRod » Tue Jan 29, 2019 8:52 am

Dear all

I have learned that due to the characteristics of some variables and the frequency of some data (for example, monthly) the system is subject to shocks. Thus, the traditional unit root tests (ADF, PP and KPSS) may show inappropriate results, due to the existence of structural breaks in the time series.

The data I am working on has a hourly frequency for the time period of 01/01/2009 to 31/12/2018.

I have also learned that the unit root test with structural break Zivot and Andrews (1992) and Perron (1989) are good examples to conduct when in presence of structural breaks in a monthly frequency data, but they are not adequate when in presence of hourly data.

Thus, my question is if there are any unit root tests with structural breaks I should perform, or if I should only perform the traditional ones.
Also, I was also told that the KPSS is also not adequate when in presence of hourly data. In fact, the results I've obtained with this test were very different from the ones i've obtained when performing the ADF and the PP tests.

I appreciate all the help in advance.

dakila
Posts: 377
Joined: Tue Nov 24, 2015 4:57 pm

Re: Unit Root Tests with structural breaks

Postby dakila » Tue Jan 29, 2019 11:57 pm

Try LSunit add-in.


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