Size and power properties of structural break unit root tests
In this article, we compare the small sample size and power properties of a newly developed endogenous structural break unit root test of Narayan and Popp (NP, 2010 ) with the existing two break unit root tests, namely the Lumsdaine and Papell (LP, 1997 ) and the Lee and Strazicich (LS, 2003 ) tests...
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| Published in | Applied economics Vol. 45; no. 6; pp. 721 - 728 |
|---|---|
| Main Authors | , |
| Format | Journal Article |
| Language | English |
| Published |
London
Routledge
01.02.2013
Taylor and Francis Journals Taylor & Francis Ltd |
| Series | Applied Economics |
| Subjects | |
| Online Access | Get full text |
| ISSN | 0003-6846 1466-4283 |
| DOI | 10.1080/00036846.2011.610752 |
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| Abstract | In this article, we compare the small sample size and power properties of a newly developed endogenous structural break unit root test of Narayan and Popp (NP,
2010
) with the existing two break unit root tests, namely the Lumsdaine and Papell (LP,
1997
) and the Lee and Strazicich (LS,
2003
) tests. In contrast to the widely used LP and LS tests, the NP test chooses the break date by maximizing the significance of the break dummy coefficient. Using Monte Carlo simulations, we show that the NP test has better size and high power, and identifies the structural breaks accurately. Power and size comparisons of the NP test with the LP and LS tests reveal that the NP test is significantly superior. |
|---|---|
| AbstractList | In this article, we compare the small sample size and power properties of a newly developed endogenous structural break unit root test of Narayan and Popp (NP, 2010) with the existing two break unit root tests, namely the Lumsdaine and Papell (LP, 1997) and the Lee and Strazicich (LS, 2003) tests. In contrast to the widely used LP and LS tests, the NP test chooses the break date by maximizing the significance of the break dummy coefficient. Using Monte Carlo simulations, we show that the NP test has better size and high power, and identifies the structural breaks accurately. Power and size comparisons of the NP test with the LP and LS tests reveal that the NP test is significantly superior. Reprinted by permission of Routledge, Taylor and Francis Ltd. In this article, we compare the small sample size and power properties of a newly developed endogenous structural break unit root test of Narayan and Popp (NP, 2010) with the existing two break unit root tests, namely the Lumsdaine and Papell (LP, 1997) and the Lee and Strazicich (LS, 2003) tests. In contrast to the widely used LP and LS tests, the NP test chooses the break date by maximizing the significance of the break dummy coefficient. Using Monte Carlo simulations, we show that the NP test has better size and high power, and identifies the structural breaks accurately. Power and size comparisons of the NP test with the LP and LS tests reveal that the NP test is significantly superior. In this article, we compare the small sample size and power properties of a newly developed endogenous structural break unit root test of Narayan and Popp (NP, 2010) with the existing two break unit root tests, namely the Lumsdaine and Papell (LP, 1997) and the Lee and Strazicich (LS, 2003) tests. In contrast to the widely used LP and LS tests, the NP test chooses the break date by maximizing the significance of the break dummy coefficient. Using Monte Carlo simulations, we show that the NP test has better size and high power, and identifies the structural breaks accurately. Power and size comparisons of the NP test with the LP and LS tests reveal that the NP test is significantly superior. [PUBLICATION ABSTRACT] In this article, we compare the small sample size and power properties of a newly developed endogenous structural break unit root test of Narayan and Popp (NP, 2010 ) with the existing two break unit root tests, namely the Lumsdaine and Papell (LP, 1997 ) and the Lee and Strazicich (LS, 2003 ) tests. In contrast to the widely used LP and LS tests, the NP test chooses the break date by maximizing the significance of the break dummy coefficient. Using Monte Carlo simulations, we show that the NP test has better size and high power, and identifies the structural breaks accurately. Power and size comparisons of the NP test with the LP and LS tests reveal that the NP test is significantly superior. |
| Author | Popp, Stephan Narayan, Paresh Kumar |
| Author_xml | – sequence: 1 givenname: Paresh Kumar surname: Narayan fullname: Narayan, Paresh Kumar email: paresh.narayan@deakin.edu.au organization: Department of Accounting, Finance and Economics , Deakin University – sequence: 2 givenname: Stephan surname: Popp fullname: Popp, Stephan organization: WestLB AG, Global Risk Management and Control |
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| Title | Size and power properties of structural break unit root tests |
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