Resumen de The poni test with structural breaks

Antonio Aznar Grasa, María Isabel Ayuda Bosque

• The objective of this paper is to extend the analysis of the behaviour of the PONI (Point Optimal Near Integration) test to the case where the model has some deterministic terms. We show that the PONI test is, asymptotically, robust with respect to structural breaks in the constant term but not with respect to breaks in the linear time trend. So, we propose a new version of the PONI test that take into account the presence of these structural breaks when the break date is known. The behaviour of this new version is compared with the KPSS test and we conclude that the proposed test has a better trade-off between size and power than the KPSS test.