unit root test and structural change. data generating process y=zeros(300,1); u=rndn(300,1); i=2; do...
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![Page 1: Unit Root Test and Structural Change. Data Generating Process Y=zeros(300,1); u=Rndn(300,1); i=2; do until i>200; Y[i,1]=3+0.2*Y[i-1,1]+1*u[i,1]; i=i+1;](https://reader036.vdocuments.site/reader036/viewer/2022062714/56649d405503460f94a1a9cb/html5/thumbnails/1.jpg)
Unit Root Test and Structural Change
![Page 2: Unit Root Test and Structural Change. Data Generating Process Y=zeros(300,1); u=Rndn(300,1); i=2; do until i>200; Y[i,1]=3+0.2*Y[i-1,1]+1*u[i,1]; i=i+1;](https://reader036.vdocuments.site/reader036/viewer/2022062714/56649d405503460f94a1a9cb/html5/thumbnails/2.jpg)
Data Generating Process
• Y=zeros(300,1); u=Rndn(300,1);• i=2;• do until i>200;• Y[i,1]=3+0.2*Y[i-1,1]+1*u[i,1];• i=i+1;• endo;
• i=201;• do until i>300;• Y[i,1]=9+0.2*Y[i-1,1]+1*u[i,1];• i=i+1;• endo;
![Page 3: Unit Root Test and Structural Change. Data Generating Process Y=zeros(300,1); u=Rndn(300,1); i=2; do until i>200; Y[i,1]=3+0.2*Y[i-1,1]+1*u[i,1]; i=i+1;](https://reader036.vdocuments.site/reader036/viewer/2022062714/56649d405503460f94a1a9cb/html5/thumbnails/3.jpg)
Structural Change-An Example
![Page 4: Unit Root Test and Structural Change. Data Generating Process Y=zeros(300,1); u=Rndn(300,1); i=2; do until i>200; Y[i,1]=3+0.2*Y[i-1,1]+1*u[i,1]; i=i+1;](https://reader036.vdocuments.site/reader036/viewer/2022062714/56649d405503460f94a1a9cb/html5/thumbnails/4.jpg)
Unit Root Tests
![Page 5: Unit Root Test and Structural Change. Data Generating Process Y=zeros(300,1); u=Rndn(300,1); i=2; do until i>200; Y[i,1]=3+0.2*Y[i-1,1]+1*u[i,1]; i=i+1;](https://reader036.vdocuments.site/reader036/viewer/2022062714/56649d405503460f94a1a9cb/html5/thumbnails/5.jpg)
Unit Root Tests
![Page 6: Unit Root Test and Structural Change. Data Generating Process Y=zeros(300,1); u=Rndn(300,1); i=2; do until i>200; Y[i,1]=3+0.2*Y[i-1,1]+1*u[i,1]; i=i+1;](https://reader036.vdocuments.site/reader036/viewer/2022062714/56649d405503460f94a1a9cb/html5/thumbnails/6.jpg)
Unit Root Tests
![Page 7: Unit Root Test and Structural Change. Data Generating Process Y=zeros(300,1); u=Rndn(300,1); i=2; do until i>200; Y[i,1]=3+0.2*Y[i-1,1]+1*u[i,1]; i=i+1;](https://reader036.vdocuments.site/reader036/viewer/2022062714/56649d405503460f94a1a9cb/html5/thumbnails/7.jpg)
Low Test Power Problem for Unit Root Test
• Y[i,1]=1*Y[i-1,1]+1*u[i,1]; n=100
• Y[i,1]=0.98*Y[i-1,1]+1*u[i,1]; n=100
• Y[i,1]=0.95*Y[i-1,1]+1*u[i,1]; n=100
• Y[i,1]=0.90*Y[i-1,1]+1*u[i,1]; n=100
• Y[i,1]=0.80*Y[i-1,1]+1*u[i,1]; n=100
![Page 8: Unit Root Test and Structural Change. Data Generating Process Y=zeros(300,1); u=Rndn(300,1); i=2; do until i>200; Y[i,1]=3+0.2*Y[i-1,1]+1*u[i,1]; i=i+1;](https://reader036.vdocuments.site/reader036/viewer/2022062714/56649d405503460f94a1a9cb/html5/thumbnails/8.jpg)
Low Test Power Problem for Unit Root Test
![Page 9: Unit Root Test and Structural Change. Data Generating Process Y=zeros(300,1); u=Rndn(300,1); i=2; do until i>200; Y[i,1]=3+0.2*Y[i-1,1]+1*u[i,1]; i=i+1;](https://reader036.vdocuments.site/reader036/viewer/2022062714/56649d405503460f94a1a9cb/html5/thumbnails/9.jpg)
Low Test Power Problem for Unit Root Test
![Page 10: Unit Root Test and Structural Change. Data Generating Process Y=zeros(300,1); u=Rndn(300,1); i=2; do until i>200; Y[i,1]=3+0.2*Y[i-1,1]+1*u[i,1]; i=i+1;](https://reader036.vdocuments.site/reader036/viewer/2022062714/56649d405503460f94a1a9cb/html5/thumbnails/10.jpg)
Low Test Power Problem for Unit Root Test
![Page 11: Unit Root Test and Structural Change. Data Generating Process Y=zeros(300,1); u=Rndn(300,1); i=2; do until i>200; Y[i,1]=3+0.2*Y[i-1,1]+1*u[i,1]; i=i+1;](https://reader036.vdocuments.site/reader036/viewer/2022062714/56649d405503460f94a1a9cb/html5/thumbnails/11.jpg)
Low Test Power Problem for Unit Root Test
![Page 12: Unit Root Test and Structural Change. Data Generating Process Y=zeros(300,1); u=Rndn(300,1); i=2; do until i>200; Y[i,1]=3+0.2*Y[i-1,1]+1*u[i,1]; i=i+1;](https://reader036.vdocuments.site/reader036/viewer/2022062714/56649d405503460f94a1a9cb/html5/thumbnails/12.jpg)
Low Test Power Problem for Unit Root Test
![Page 13: Unit Root Test and Structural Change. Data Generating Process Y=zeros(300,1); u=Rndn(300,1); i=2; do until i>200; Y[i,1]=3+0.2*Y[i-1,1]+1*u[i,1]; i=i+1;](https://reader036.vdocuments.site/reader036/viewer/2022062714/56649d405503460f94a1a9cb/html5/thumbnails/13.jpg)
Size Distortion Problem
• Y[i,1]=0.90*Y[i-1,1]+1*u[i,1]; n=100
• Y[i,1]=0.90*Y[i-1,1]+1*u[i,1]; n=1,000
![Page 14: Unit Root Test and Structural Change. Data Generating Process Y=zeros(300,1); u=Rndn(300,1); i=2; do until i>200; Y[i,1]=3+0.2*Y[i-1,1]+1*u[i,1]; i=i+1;](https://reader036.vdocuments.site/reader036/viewer/2022062714/56649d405503460f94a1a9cb/html5/thumbnails/14.jpg)
Size Distortion Problem