Unit root testing under structural breaks

Autores
Buzzi, Sergio Martín; Ojeda, Silvia María
Año de publicación
2017
Idioma
inglés
Tipo de recurso
documento de conferencia
Estado
versión publicada
Descripción
Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.
Fil: Ojeda, Silvia María. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; Argentina.
In this paper are analyzed eleven stock market indices in order to conclude about their integration orders. With this objective in mind, three tests are performed. The first test, is the standard Augmented Dickey-Fuller (ADF) unit root test. It is known that this test can face problems of lack of power, failing to reject the null hypothesis being the series in fact integrated of order zero, I(0), erroneously concluding the existence of unit roots. The second test, is the Kwiatkowski, Phillips, Schmidt and Shin (KPSS) stationarity test, which complements the ADF test, provided that its null hypothesis is that the series under analysis is stationary. The third test posed is the Kapetanios unit root test, which is an extension of Zivot and Andrews? unit root test for the case of up to m structural breaks. This third test is intended to solve another problem faced by standard ADF test which could conclude the existence of a unit root, when in fact the series is integrated of order zero with a broken deterministic tend. The estimations are performed using daily data for a long time period, for the nine greater world stock markets indices plus Bovespa and Merval indices. The testing procedures are run in the open source statistical programming language R. Moreover, an R procedure is written in order to perform the Kapetanios test, modifying the existing ur.za function from urca package. Finally the results from those tests are compared and interpreted, reaching the conclusion that the series are integrated of order one, I(1).
Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.
Fil: Ojeda, Silvia María. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; Argentina.
Economía, Econometría
Materia
Unit root
Time series
Structural breaks
Stock markets
Nivel de accesibilidad
acceso abierto
Condiciones de uso
Repositorio
Repositorio Digital Universitario (UNC)
Institución
Universidad Nacional de Córdoba
OAI Identificador
oai:rdu.unc.edu.ar:11086/18774

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oai_identifier_str oai:rdu.unc.edu.ar:11086/18774
network_acronym_str RDUUNC
repository_id_str 2572
network_name_str Repositorio Digital Universitario (UNC)
spelling Unit root testing under structural breaksBuzzi, Sergio MartínOjeda, Silvia MaríaUnit rootTime seriesStructural breaksStock marketsFil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.Fil: Ojeda, Silvia María. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; Argentina.In this paper are analyzed eleven stock market indices in order to conclude about their integration orders. With this objective in mind, three tests are performed. The first test, is the standard Augmented Dickey-Fuller (ADF) unit root test. It is known that this test can face problems of lack of power, failing to reject the null hypothesis being the series in fact integrated of order zero, I(0), erroneously concluding the existence of unit roots. The second test, is the Kwiatkowski, Phillips, Schmidt and Shin (KPSS) stationarity test, which complements the ADF test, provided that its null hypothesis is that the series under analysis is stationary. The third test posed is the Kapetanios unit root test, which is an extension of Zivot and Andrews? unit root test for the case of up to m structural breaks. This third test is intended to solve another problem faced by standard ADF test which could conclude the existence of a unit root, when in fact the series is integrated of order zero with a broken deterministic tend. The estimations are performed using daily data for a long time period, for the nine greater world stock markets indices plus Bovespa and Merval indices. The testing procedures are run in the open source statistical programming language R. Moreover, an R procedure is written in order to perform the Kapetanios test, modifying the existing ur.za function from urca package. Finally the results from those tests are compared and interpreted, reaching the conclusion that the series are integrated of order one, I(1).Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.Fil: Ojeda, Silvia María. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; Argentina.Economía, Econometría2017-10info:eu-repo/semantics/conferenceObjectinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_5794info:ar-repo/semantics/documentoDeConferenciaapplication/pdf2591-3980http://hdl.handle.net/11086/18774enginfo:eu-repo/semantics/openAccessreponame:Repositorio Digital Universitario (UNC)instname:Universidad Nacional de Córdobainstacron:UNC2025-09-29T13:42:50Zoai:rdu.unc.edu.ar:11086/18774Institucionalhttps://rdu.unc.edu.ar/Universidad públicaNo correspondehttp://rdu.unc.edu.ar/oai/snrdoca.unc@gmail.comArgentinaNo correspondeNo correspondeNo correspondeopendoar:25722025-09-29 13:42:50.574Repositorio Digital Universitario (UNC) - Universidad Nacional de Córdobafalse
dc.title.none.fl_str_mv Unit root testing under structural breaks
title Unit root testing under structural breaks
spellingShingle Unit root testing under structural breaks
Buzzi, Sergio Martín
Unit root
Time series
Structural breaks
Stock markets
title_short Unit root testing under structural breaks
title_full Unit root testing under structural breaks
title_fullStr Unit root testing under structural breaks
title_full_unstemmed Unit root testing under structural breaks
title_sort Unit root testing under structural breaks
dc.creator.none.fl_str_mv Buzzi, Sergio Martín
Ojeda, Silvia María
author Buzzi, Sergio Martín
author_facet Buzzi, Sergio Martín
Ojeda, Silvia María
author_role author
author2 Ojeda, Silvia María
author2_role author
dc.subject.none.fl_str_mv Unit root
Time series
Structural breaks
Stock markets
topic Unit root
Time series
Structural breaks
Stock markets
dc.description.none.fl_txt_mv Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.
Fil: Ojeda, Silvia María. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; Argentina.
In this paper are analyzed eleven stock market indices in order to conclude about their integration orders. With this objective in mind, three tests are performed. The first test, is the standard Augmented Dickey-Fuller (ADF) unit root test. It is known that this test can face problems of lack of power, failing to reject the null hypothesis being the series in fact integrated of order zero, I(0), erroneously concluding the existence of unit roots. The second test, is the Kwiatkowski, Phillips, Schmidt and Shin (KPSS) stationarity test, which complements the ADF test, provided that its null hypothesis is that the series under analysis is stationary. The third test posed is the Kapetanios unit root test, which is an extension of Zivot and Andrews? unit root test for the case of up to m structural breaks. This third test is intended to solve another problem faced by standard ADF test which could conclude the existence of a unit root, when in fact the series is integrated of order zero with a broken deterministic tend. The estimations are performed using daily data for a long time period, for the nine greater world stock markets indices plus Bovespa and Merval indices. The testing procedures are run in the open source statistical programming language R. Moreover, an R procedure is written in order to perform the Kapetanios test, modifying the existing ur.za function from urca package. Finally the results from those tests are compared and interpreted, reaching the conclusion that the series are integrated of order one, I(1).
Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.
Fil: Ojeda, Silvia María. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; Argentina.
Economía, Econometría
description Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.
publishDate 2017
dc.date.none.fl_str_mv 2017-10
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dc.identifier.none.fl_str_mv 2591-3980
http://hdl.handle.net/11086/18774
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