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dc.contributor.authorChang, Seong Y.en_US
dc.contributor.authorPerron, Pierreen_US
dc.date.accessioned2018-01-19T15:29:54Z
dc.date.available2018-01-19T15:29:54Z
dc.date.issued2017
dc.identifier.citationS.Y. Chang, P. Perron. 2017. "Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses." Econometrics, v. 5, Issue 1, pp. 5. https://doi.org/10.3390/econometrics5010005
dc.identifier.urihttps://hdl.handle.net/2144/26212
dc.description.abstractThis paper considers testing procedures for the null hypothesis of a unit root process against the alternative of a fractional process, called a fractional unit root test. We extend the Lagrange Multiplier (LM) tests of Robinson (1994) and Tanaka (1999), which are locally best invariant and uniformly most powerful, to allow for a slope change in trend with or without a concurrent level shift under both the null and alternative hypotheses. We show that the limit distribution of the proposed LM tests is standard normal. Finite sample simulation experiments show that the tests have good size and power. As an empirical analysis, we apply the tests to the Consumer Price Indices of the G7 countries.en_US
dc.format.extentp. 5en_US
dc.language.isoen_US
dc.publisherMultidisciplinary Digital Publishing Instituteen_US
dc.relation.ispartofEconometrics
dc.rightsThis is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.en_US
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/
dc.subjectHypothesis testingen_US
dc.subjectLM testen_US
dc.subjectLagrange Multiplier (LM)en_US
dc.subjectSlope changeen_US
dc.subjectSpurious breaken_US
dc.subjectTrend functionen_US
dc.titleFractional unit root tests allowing for a structural change in trend under both the null and alternative hypothesesen_US
dc.typeArticleen_US
dc.identifier.doi10.3390/econometrics5010005
pubs.elements-sourcemanual-entryen_US
pubs.notesEmbargo: Not knownen_US
pubs.organisational-groupBoston Universityen_US
pubs.organisational-groupBoston University, College of Arts & Sciencesen_US
pubs.organisational-groupBoston University, College of Arts & Sciences, Department of Economicsen_US


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This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Except where otherwise noted, this item's license is described as This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.