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Tests for a Break in Level when the Order of Integration is Unknown

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  • David I. Harvey
  • Stephen J. Leybourne
  • Paul Newbold

Abstract

In this paper, we consider tests for a break in the level of a series at an unknown point in time. It is often the case that uncertainty exists concerning the order of integration of the series; consequently, we focus on tests that are applicable when the order of integration is not known. The size and power of existing tests are analysed, and a modification to one of the established sets of tests is proposed which offers improved performance in certain circumstances.

Suggested Citation

  • David I. Harvey & Stephen J. Leybourne & Paul Newbold, 2004. "Tests for a Break in Level when the Order of Integration is Unknown," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(1), pages 133-146, February.
    • Handle: RePEc:bla:obuest:v:66:y:2004:i:1:p:133-146
    DOI: 10.1046/j.0305-9049.2003.00084.x
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    References listed on IDEAS

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    1. Leybourne, S J, 1995. "Testing for Unit Roots Using Forward and Reverse Dickey-Fuller Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 57(4), pages 559-571, November.
    2. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
    3. Vogelsang, Timothy J, 1998. "Testing for a Shift in Mean without Having to Estimate Serial-Correlation Parameters," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(1), pages 73-80, January.
    4. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
    5. Timothy J. Vogelsang, 1998. "Trend Function Hypothesis Testing in the Presence of Serial Correlation," Econometrica, Econometric Society, vol. 66(1), pages 123-148, January.
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