{"id":"https://openalex.org/W2167877324","doi":"https://doi.org/10.1080/03610910902747787","title":"Spurious Rejections with Endogenous Break Unit Root Tests in the Presence of Outliers and Breaks","display_name":"Spurious Rejections with Endogenous Break Unit Root Tests in the Presence of Outliers and Breaks","publication_year":2009,"publication_date":"2009-02-25","ids":{"openalex":"https://openalex.org/W2167877324","doi":"https://doi.org/10.1080/03610910902747787","mag":"2167877324"},"language":"en","primary_location":{"id":"doi:10.1080/03610910902747787","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610910902747787","pdf_url":null,"source":{"id":"https://openalex.org/S153329750","display_name":"Communications in Statistics - Simulation and Computation","issn_l":"0361-0918","issn":["0361-0918","1532-4141"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Communications in Statistics - Simulation and Computation","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5015116092","display_name":"Olivier Darn\u00e9","orcid":"https://orcid.org/0000-0003-2796-4873"},"institutions":[{"id":"https://openalex.org/I97188460","display_name":"Nantes Universit\u00e9","ror":"https://ror.org/03gnr7b55","country_code":"FR","type":"education","lineage":["https://openalex.org/I97188460"]}],"countries":["FR"],"is_corresponding":true,"raw_author_name":"Olivier Darn\u00e9","raw_affiliation_strings":["LEMNA, University of Nantes , Nantes , France"],"affiliations":[{"raw_affiliation_string":"LEMNA, University of Nantes , Nantes , France","institution_ids":["https://openalex.org/I97188460"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5015116092"],"corresponding_institution_ids":["https://openalex.org/I97188460"],"apc_list":null,"apc_paid":null,"fwci":1.0863,"has_fulltext":false,"cited_by_count":4,"citation_normalized_percentile":{"value":0.85628324,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":"38","issue":"5","first_page":"1037","last_page":"1050"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T14094","display_name":"Italy: Economic History and Contemporary Issues","score":0.9729999899864197,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/unit-root","display_name":"Unit root","score":0.8679593801498413},{"id":"https://openalex.org/keywords/spurious-relationship","display_name":"Spurious relationship","score":0.8335468769073486},{"id":"https://openalex.org/keywords/outlier","display_name":"Outlier","score":0.6646808385848999},{"id":"https://openalex.org/keywords/structural-break","display_name":"Structural break","score":0.6409635543823242},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.629665195941925},{"id":"https://openalex.org/keywords/unit-root-test","display_name":"Unit root test","score":0.5487795472145081},{"id":"https://openalex.org/keywords/null-hypothesis","display_name":"Null hypothesis","score":0.5050955414772034},{"id":"https://openalex.org/keywords/statistical-hypothesis-testing","display_name":"Statistical hypothesis testing","score":0.45704206824302673},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.438917875289917},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.4106298089027405},{"id":"https://openalex.org/keywords/cointegration","display_name":"Cointegration","score":0.2653493881225586}],"concepts":[{"id":"https://openalex.org/C195561663","wikidata":"https://www.wikidata.org/wiki/Q1307899","display_name":"Unit root","level":2,"score":0.8679593801498413},{"id":"https://openalex.org/C97256817","wikidata":"https://www.wikidata.org/wiki/Q1462316","display_name":"Spurious relationship","level":2,"score":0.8335468769073486},{"id":"https://openalex.org/C79337645","wikidata":"https://www.wikidata.org/wiki/Q779824","display_name":"Outlier","level":2,"score":0.6646808385848999},{"id":"https://openalex.org/C186008389","wikidata":"https://www.wikidata.org/wiki/Q7625010","display_name":"Structural break","level":2,"score":0.6409635543823242},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.629665195941925},{"id":"https://openalex.org/C144341231","wikidata":"https://www.wikidata.org/wiki/Q7887151","display_name":"Unit root test","level":3,"score":0.5487795472145081},{"id":"https://openalex.org/C191988596","wikidata":"https://www.wikidata.org/wiki/Q628374","display_name":"Null hypothesis","level":2,"score":0.5050955414772034},{"id":"https://openalex.org/C87007009","wikidata":"https://www.wikidata.org/wiki/Q210832","display_name":"Statistical hypothesis testing","level":2,"score":0.45704206824302673},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.438917875289917},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.4106298089027405},{"id":"https://openalex.org/C145162277","wikidata":"https://www.wikidata.org/wiki/Q1751675","display_name":"Cointegration","level":2,"score":0.2653493881225586}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1080/03610910902747787","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610910902747787","pdf_url":null,"source":{"id":"https://openalex.org/S153329750","display_name":"Communications in Statistics - Simulation and Computation","issn_l":"0361-0918","issn":["0361-0918","1532-4141"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Communications in Statistics - Simulation and Computation","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":36,"referenced_works":["https://openalex.org/W1481146996","https://openalex.org/W1607204504","https://openalex.org/W1966536982","https://openalex.org/W1975994995","https://openalex.org/W1982817565","https://openalex.org/W1988861237","https://openalex.org/W1990647126","https://openalex.org/W2018323679","https://openalex.org/W2018883867","https://openalex.org/W2019199761","https://openalex.org/W2020850080","https://openalex.org/W2021684460","https://openalex.org/W2038532793","https://openalex.org/W2053341286","https://openalex.org/W2057346721","https://openalex.org/W2059264522","https://openalex.org/W2065747393","https://openalex.org/W2066888340","https://openalex.org/W2078955346","https://openalex.org/W2082829835","https://openalex.org/W2084700690","https://openalex.org/W2097580026","https://openalex.org/W2116388354","https://openalex.org/W2120624450","https://openalex.org/W2125793385","https://openalex.org/W2128175532","https://openalex.org/W2130302159","https://openalex.org/W2145655333","https://openalex.org/W2146335013","https://openalex.org/W2149292156","https://openalex.org/W2169107902","https://openalex.org/W3121759158","https://openalex.org/W3123185352","https://openalex.org/W3124662040","https://openalex.org/W3125553690","https://openalex.org/W4254559591"],"related_works":["https://openalex.org/W3185710778","https://openalex.org/W3123551648","https://openalex.org/W3122916106","https://openalex.org/W3149781249","https://openalex.org/W149471877","https://openalex.org/W2186799462","https://openalex.org/W3204547382","https://openalex.org/W1985568478","https://openalex.org/W2368604504","https://openalex.org/W3124891562"],"abstract_inverted_index":{"Unit":[0],"root":[1,37,81,166,190],"tests":[2,82,147,167],"with":[3],"structural":[4,84],"break":[5,153,164,172,181],"developed":[6],"by":[7,113],"Zivot":[8,12],"and":[9,34,43,62,64,83,109,142],"Andrews":[10,16],"(1992":[11],",":[13,15,17,59,68,70,72,100],"E.":[14],"D.":[18],"W.":[19],"K.":[20],"(":[21,74],"1992":[22],").":[23,76],"Further":[24],"evidence":[25],"on":[26],"the":[27,30,35,104,120,130,134,145,171,179,188],"great":[28],"crash,":[29],"oil":[31],"price":[32],"shock":[33],"unit":[36,80,165,189],"hypothesis":[38],".":[39,86],"Journal":[40,87],"of":[41,56,88,97,106,140,187],"Business":[42],"Economic":[44],"Statistics":[45],"10":[46],":":[47,91],"251":[48],"\u2013":[49,93],"270":[50],".[Taylor":[51],"&":[52],"Francis":[53],"Online],":[54],"[Web":[55,96],"Science":[57,98],"\u00ae]":[58,99],"[Google":[60,101],"Scholar])":[61,102],"Perron":[63,67],"Rodriguez":[65,71],"(2003":[66],"P.":[69],"G.":[73],"2003":[75],"GLS":[77],"detrending,":[78],"efficient":[79],"change":[85],"Econometrics":[89],"115":[90],"1":[92],"27":[94],".[Crossref],":[95],"in":[103],"presence":[105],"additive":[107,131],"outliers":[108,132],"breaks":[110],"are":[111,148],"studied":[112],"simulation":[114],"experiments.":[115],"The":[116],"results":[117],"show":[118],"that":[119],"Zivot\u2013Andrews":[121],"test":[122,136],"appears":[123],"to":[124,129,169,184],"have":[125],"size":[126,141],"distortions":[127],"due":[128],"whereas":[133],"Perron\u2013Rodriguez":[135],"exhibits":[137],"good":[138],"properties":[139],"power.":[143],"However,":[144],"two":[146],"biased":[149],"when":[150],"a":[151],"second":[152],"is":[154],"present":[155],"but":[156],"not":[157],"taken":[158],"into":[159],"account.":[160],"Furthermore,":[161],"these":[162],"endogenous":[163],"tend":[168],"determine":[170],"point":[173],"incorrectly":[174],"at":[175],"one":[176],"period":[177],"behind":[178],"true":[180],"point,":[182],"leading":[183],"spurious":[185],"rejections":[186],"null":[191],"hypothesis.":[192]},"counts_by_year":[{"year":2017,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}