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A Note on Busetti-Harvey tests for stationarity in series with structural breaks
preprint
posted on 2005-08-18, 15:59 authored by David I. Harvey, Terence MillsIn this note we highlight a minor error in asymptotic distribution of one of the Busetti and Harvey (2001) tests for stationarity in the presence of structural breaks, and provide corrected asymptotic critical values where relevant. In addition, we examine the extent to which finite sample critical values for the Busetti-Harvey tests are approximated by their asymptotic counterparts when the location of the break is determined endogenously.
History
School
- Business and Economics
Department
- Economics
Pages
130929 bytesPublication date
2001Notes
Economics Research Paper, no.01-05Language
- en