Misspecification of the breaking date in series with a change in the growth rate. Effect on the LBI test for stationarity

We study the asymptotic behaviour of the LBI statistic for testing stationarity around a trend with a change in the growth rate when the breaking date is erroneously positioned, showing its divergence. The analysis is completed with Monte Carlo simulations.

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Year of publication:	2007
Authors:	Presno, Maria Jose ; Ramos, Carmen
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 14.2007, 11, p. 845-850
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005265436