PHYS 1061 Study Guide - Quiz Guide: Structural Break, Test Statistic
Document Summary
The banerjee et al. (1992) and zivot and andrews (1992) procedures - background. More seriously, christiano (1992) has argued that the critical values employed with the test will presume the break date to be chosen exogenously. But most researchers will select a break point based on an examination of the data. Thus the asymptotic theory assumed will no longer hold. Banerjee et al. (1992) and zivot and andrews (1992) introduce an approach to testing for unit roots in the presence of structural change that allows the break date to be selected endogenously. Their methods are based on recursive, rolling and sequential tests. The banerjee et al. (1992) and zivot and andrews (1992) procedures - details. For the recursive and rolling tests, banerjee et al. propose four specifications. The standard dickey-fuller test on the whole sample. The adf test conducted repeatedly on the sub-samples and the minimal df statistic is obtained. The maximal df statistic obtained from the sub-samples.
