Spurious rejections by Perron tests in the presence of a break

Tae Hwan Kim, Stephen J. Leybourne, Paul Newbold

Research output: Contribution to journalArticlepeer-review

20 Citations (Scopus)


In this paper, we concentrate on the case of an exogeneously chosen break date, but entertain the possibility that an incorrect choice is made. In fact, the Perron test statistics considered are invariant to any break in the generating process at the assumed break date. Our results therefore apply equally to the case of a generating process with two breaks, only one of which is specifically accounted for in the analysis. As in Leybourne et al. (1998), we find that a neglected relatively early break can lead to spurious rejections of the unit root null hypothesis. Moreover, for all but one of the tests analyzed, spurious rejections now also arise if a true break occurs relatively soon after the assumed break date.

Original languageEnglish
Pages (from-to)433-444
Number of pages12
JournalOxford Bulletin of Economics and Statistics
Issue number3
Publication statusPublished - 2000 Jul

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Social Sciences (miscellaneous)
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty


Dive into the research topics of 'Spurious rejections by Perron tests in the presence of a break'. Together they form a unique fingerprint.

Cite this