The Infona portal uses cookies, i.e. strings of text saved by a browser on the user's device. The portal can access those files and use them to remember the user's data, such as their chosen settings (screen view, interface language, etc.), or their login data. By using the Infona portal the user accepts automatic saving and using this information for portal operation purposes. More information on the subject can be found in the Privacy Policy and Terms of Service. By closing this window the user confirms that they have read the information on cookie usage, and they accept the privacy policy and the way cookies are used by the portal. You can change the cookie settings in your browser.
Perron [Perron, P., 1989. The great crash, the oil price shock and the unit root hypothesis. Econometrica 57, 1361–1401] introduced a variety of unit root tests that are valid when a break in the trend function of a time series is present. The motivation was to devise testing procedures that were invariant to the magnitude of the shift in level and/or slope. In particular, if a change is present it...
The tests introduced by Ng and Perron [Ng, S., Perron, P., 20011. “Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power,” Econometrica 69, 1519–1554] have the drawback that for non-local alternatives the power can be very small. The aim of this note is to point out an easy solution to this power reversal problem, which in addition leads to tests having an exact size...
Set the date range to filter the displayed results. You can set a starting date, ending date or both. You can enter the dates manually or choose them from the calendar.