Size and power properties of structural break unit root tests

Narayan, Paresh Kumar; Popp, Stephan

doi:10.1080/00036846.2011.610752

Cited by 202 publications

(39 citation statements)

References 17 publications

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“…In both cases, the null hypothesis is that the time series contains a unit root or exhibits a random walk. Narayan and Popp (2013) showed that the Narayan and Popp (2010) test has better size properties and identifies the breaks more accurately, than its main two-break unit root rivals; namely, the Lumsdaine and Papell (1997) and Lee and Strazicich (2003) tests. The purpose of employing this test is to examine the effect of allowing for structural breaks, without accounting for heteroscedasticity, on whether the null is rejected.…”

Section: Methodsmentioning

confidence: 98%

Testing for weak-form efficiency of crude palm oil spot and future markets: new evidence from a GARCH unit root test with multiple structural breaks

Smyth

2015

Applied Economics

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There is a sizeable literature that tests for weak-form efficiency in commodity and energy spot and future prices. While many studies now allow for multiple structural breaks to address the criticism that conventional unit root tests have low power to reject the unit root null in the presence of structural change, the extant literature overlooks the fact that conventional unit root tests are biased in the presence of conditional heteroscedasticity. We apply a recently developed generalized autoregressive conditional heteroscedasticity (GARCH) unit root test with multiple structural breaks to crude palm oil spot and future prices and find much more evidence against weak-form efficiency than that found using tests that fail to allow for conditional heteroscedasticity. Our results point to the importance of allowing for heteroscedasticity when testing for efficiency in commodity and energy spot and future prices.

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Section: Methodsmentioning

confidence: 98%

Testing for weak-form efficiency of crude palm oil spot and future markets: new evidence from a GARCH unit root test with multiple structural breaks

Smyth

2015

Applied Economics

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“…In addition, given the length of our time series (54 years), it is important to check consistency between panel and individual country's unit root test. Appendix Table A4 and Table A5 presents results for the Narayan and Popp (2013) test, which allows for the presence of two structural breaks. Results are consistent with the panel data testing procedure as they indicate non-stationarity for the variable in levels and stationarity for the variables in first difference.…”

Section: Estimation Of the Traditional Modelsmentioning

confidence: 99%

Growth in emerging economies: Is there a role for education?

2018

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“…Narayan and Popp (2013) compareNarayan and Popp (2010) (NP) test with the prominent tests ofLumsdaine and Papell (1997) andLee and Strazicich (2003), and they find that the NP test has not only better size and power properties, but also identifies structural breaks more accurately.6 Please note thatTable 4presents only the banks of which the series had sufficient number of observations to conduct theNarayan and Popp (2010) test.…”

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confidence: 99%

Small business lending and credit risk: Granger causality evidence

Aysan

Disli

2019

Economic Modelling

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Because of their opaque nature, SMEs are overly reliant on bank lending. Therefore, we examine whether banks' credit supply to SMEs are affected by their financial conditions. To this end, we employ a Granger causality analysis to examine whether there is an indication of a significant direction of determination between SME lending and non-performing SME loans. The results reveal no bidirectional relationship between SME lending and NPL for the entire banking sector. For Islamic banks, however, we find two-way linkages between these two parameters: a negative causation is running both from SME lending to NPL growth and from NPL to SME lending. Given Islamic banks' deposit-oriented funding practices and their adherence to profit-and-loss sharing principles, this finding suggests the presence of heightened market discipline within the Islamic banking system.

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Size and power properties of structural break unit root tests

Cited by 202 publications

References 17 publications

Testing for weak-form efficiency of crude palm oil spot and future markets: new evidence from a GARCH unit root test with multiple structural breaks

Testing for weak-form efficiency of crude palm oil spot and future markets: new evidence from a GARCH unit root test with multiple structural breaks

Growth in emerging economies: Is there a role for education?

Small business lending and credit risk: Granger causality evidence

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