Abstract
This note provides the asymptotic distribution of a Perron-type innovational outlier unit root test developed by Popp (J Stat Comput Sim 78:1145–1161, 2008) in case of a shift in the intercept for non-trending data. In Popp (J Stat Comput Sim 78:1145–1161, 2008), only critical values for finite samples based on Monte Carlo techniques are tabulated. Using similar arguments as in Zivot and Andrews (J Bus Econ Stat 10:251–270, 1992), weak convergence is shown for the test statistics.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
