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A NOTE ON BUSETTI–HARVEY TESTS FOR STATIONARITY IN SERIES WITH STRUCTURAL BREAKS
Author(s) -
HARVEY DAVID I.,
MILLS TERENCE C.
Publication year - 2003
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/1467-9892.00300
Subject(s) - mathematics , series (stratigraphy) , asymptotic analysis , asymptotic distribution , asymptotic expansion , sample (material) , statistics , econometrics , mathematical analysis , thermodynamics , paleontology , physics , estimator , biology
. In this note, we highlight a minor error in the 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.