Statistics Final Year Topic: Sensitivity of Unit-Root Testing to an Unmodelled Level Shift

This Statistics final year project uses simulated stationary and unit-root series with declared break timing to investigate a specific question in time-series inference. The analysis is designed around known generating conditions so that the behaviour of competing statistical procedures can be checked.

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Why choose this project topic?

This study makes stationarity and breaks an explicit, reproducible comparison. Working with simulated stationary and unit-root series with declared break timing lets you separate the target quantity from its estimate and explain when a statistical conclusion depends on assumptions.

How does a deterministic level shift affect the rejection behaviour of a selected unit-root test?

Agree the scenario ranges, sample sizes and reporting measures for stationarity and breaks before running the study.

Proposed project objectives

01Specify the data-generating conditions for simulated stationary and unit-root series with declared break timing.
02Implement a reproducible analysis of stationarity and breaks with documented software settings.
03Evaluate the estimates and uncertainty relevant to this question: How does a deterministic level shift affect the rejection behaviour of a selected unit-root test?

A suggested research approach

Vary break size and location while documenting lag-selection and deterministic terms. Compare rejection rates in known stationary and unit-root scenarios and report finite-sample uncertainty. Write the analysis before inspecting favourable runs, record random seeds where simulation is used, and keep generated study data distinct from observed field data.

What you will need

A written design for simulated stationary and unit-root series with declared break timing
Statistical software supporting time-series inference and reproducible scripts
A supervisor-agreed range of scenarios and computational budget

Keep your project scope clear

Failure to reject a unit root is not proof of one, especially when the fitted test specification omits a break.

Statistics project chapter outline

Use this outline as a starting point. You can edit the chapter titles to match your department’s format during setup.

Chapter 1Introduction
Chapter 2Literature Review
Chapter 3Theory and Methodology
Chapter 4Results and Applications
Chapter 5Summary, Conclusion and Recommendations

Turn this topic into your own final year project.

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