breakpoint unit root test

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john1990
Posts: 7
Joined: Fri Apr 01, 2016 1:54 am

breakpoint unit root test

Postby john1990 » Wed Apr 20, 2016 11:47 pm

HI
I want to test for unit root with possible breakpoint .
the breakpoint is known. First I tested for unit root for two subsamples (before break date and after) Both results suggest that the null of unit root cannot be rejected , then I tested for the whole sample using breakpoint unit root test, but different specifications of the test gives very different result , for example if I choose INNOVATION OUTLIER the test rejects the null but for ADDITIVE OUTLIER option the null cannot be rejected , and i also get different results using Akaike or Schwartz criterion for lag specification. SO How can i decide what specification to chose ?
Here is the graph of my data , you can see the break at 2008
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trubador
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Posts: 1520
Joined: Thu Nov 20, 2008 12:04 pm

Re: breakpoint unit root test

Postby trubador » Thu Apr 21, 2016 7:01 am

Looks like you have a trending data with an innovation outlier that led to a break in both trend and the intercept. So it is quite normal for additive outlier specification to fail the test...


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