Selection of the break in the Perron-type tests

Societal Violence and Collective Consciousness

“…9. On the basis of Monte Carlo experiments, Montañés, Olloqui, and Calvo (2005) recommended using the minimum value of the Bayesian information criterion (BIC; Schwarz, 1978) to select the form of the structural-break model used in the Perron test. For each of the three crime variables analyzed in this article, estimation of an alternative, more general, model for the Perron test, Perron's model C (1989, Equation 14), which allows both a post-intervention change in trend and a change in level of the series, yields a higher BIC than that for Perron's Equation 15 (Perron, 1989).…”

Inflação inercial como um processo de longa memória: análise a partir de um modelo Arfima-Figarch

“…Neste caso, a omissão da possibilidade de quebra introduz um viés no teste de raiz unitária de modo que a hipótese de não-estacionariedade tende a não ser rejeitada, quando na verdade a série é de natureza estacionária com uma provável mudança na tendên-cia e/ou na inclinação (ZiVoT; ANdREwS, 1992e MoNTAñéS et. al., 2005.…”

Unit Root Tests in Time Series Volume 2

“…For further developments and discussion of these results see also Montañés, Olloqui and Calvo (2005).…”

“…Whilst useful, this procedure may not be definitive enough in practice. Montañés, Olloqui and Calvo (2005), hereafter MOC, consider this issue further and suggest that information criteria may provide a better way of selecting the model on which to base unit root inference. Sen (2003) makes the point that if the time of the break is unknown, it is also quite likely that the form of the break model under the alternative is also unknown, and Sen (2007) suggests basing inference on the mixed model, that is Model 2, for a consistent estimate of the break date.…”