Size and power of two recent unit root tests that allow for structural breaks
نویسنده
چکیده
This paper examines the properties of the two recent structural break unit root tests developed in Harvey, Leybourne and Taylor (2013) and Narayan and Popp (2010). The properties are investigated by Monte Carlo simulations in an environment where two trend breaks of small to large magnitudes are present. We find that the Harvey, Leybourne and Taylor (2013) test has superior size and power properties compared to the Narayan and Popp (2010) test. In addition, we investigate the accuracy of the break detection of the two procedures. The results show that the former test is more accurate than the later test except for when the breaks are very large and the null is true.
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Purchasing Power Parity Hypothesis In OIC Countries: Evidence From Panel Unit Root Tests With Heterogeneous Structural Breaks
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