breakpoint unit root test
Posted: 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
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