Breakpoint unit root test with unknown break date

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canasya
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Joined: Tue Jun 07, 2016 3:53 am

Breakpoint unit root test with unknown break date

Postby canasya » Tue Jun 07, 2016 7:41 am

The Eviews Guide II (page 543) states the following: "If the break date is estimated, the test statistics considered here do not permit a breaking
trend under the null."

But when I ran the test with breaking trend (break selection: minimize Dickey-Fuller t-statistic) I did get the results which state the null as unit root (see below). Are these results incorrect, or is the Guide outdated? Please help. Thanks. :?

Null Hypothesis: LOGX4 has a unit root
Trend Specification: Trend and intercept
Break Specification: Trend only
Break Type: Innovational outlier

Break Date: 717
Break Selection: Minimize Dickey-Fuller t-statistic
Lag Length: 1 (Automatic - based on Schwarz information criterion,
maxlag=10)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.593005 0.0424
Test critical values: 1% level -5.067425
5% level -4.524826
10% level -4.261048


*Vogelsang (1993) asymptotic one-sided p-values.

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