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Tests for a Break in Level when the Order of Integration is Unknown *
Author(s) -
Harvey David I.,
Leybourne Stephen J.,
Newbold Paul
Publication year - 2004
Publication title -
oxford bulletin of economics and statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.131
H-Index - 73
eISSN - 1468-0084
pISSN - 0305-9049
DOI - 10.1046/j.0305-9049.2003.00084.x
Subject(s) - series (stratigraphy) , order (exchange) , order of integration (calculus) , focus (optics) , econometrics , point (geometry) , mathematics , computer science , economics , mathematical analysis , paleontology , physics , geometry , finance , optics , biology
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.