Selection of the break in the Perron-type tests. (English) Zbl 1337.62223
Summary: This paper studies the behavior of the Perron-type tests under an erroneous determination of the type of break. Our theoretical results prove that this kind of error may induce the researcher to incorrectly infer the time properties of the variable being studied. These asymptotic results are also observed in finite samples, as confirmed by various Monte Carlo exercises.
MSC:
| 62M07 | Non-Markovian processes: hypothesis testing |
| 62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
| 62P20 | Applications of statistics to economics |
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