On the end-point issue in unit root tests in the presence of a structural break

Authors
Lee, J
Citation
J. Lee, On the end-point issue in unit root tests in the presence of a structural break, ECON LETT, 68(1), 2000, pp. 7-11
Citations number
6
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
68
Issue
1
Year of publication
2000
Pages
7 - 11
Database
ISI
SICI code
0165-1765(200007)68:1<7:OTEIIU>2.0.ZU;2-Y
Abstract
This paper shows that the spurious rejection problem illustrated by Leybour ne et al. (1998) [Leybourne, S.J., Mills, T., Newbold, P., 1998. Spurious r ejections by Dickey-Fuller tests in the presence of a break under the null. Journal of Econometrics 87, 191-203] is restricted to the DF type test, wh ich is based on the conditional likelihood function discarding the first ob servation. (C) 2000 Elsevier Science S.A. All rights reserved. JEL classifi cation: C12; C15; C22.