Recursive adjustment, unit root tests and structural breaks (Q2852481): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	Recursive adjustment, unit root tests and structural breaks	scientific article

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scholarly article

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Recursive adjustment, unit root tests and structural breaks (English)

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Paulo M. M. Rodrigues

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Journal of Time Series Analysis

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publication date

9 October 2013

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zbMATH Keywords

recursive adjustment

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quasi-differencing

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unit root tests

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structural breaks

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1111/j.1467-9892.2012.00813.x

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A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks

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Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples

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GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES

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TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY

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Limiting distributions of least squares estimates of unstable autoregressive processes

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Nonlinear IV unit root tests in panels with cross-sectional dependency.

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Distribution of the Estimators for Autoregressive Time Series With a Unit Root

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Minimizing the impact of the initial condition on testing for unit roots

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Efficient Tests for an Autoregressive Unit Root

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On testing for unit roots and the initial observation

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SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS

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UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION

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Robust methods for detecting multiple level breaks in autocorrelated time series

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Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses

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Unit root tests for time series with level shifts: a comparison of different proposals.

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Spurious rejections by Dickey-Fuller tests in the presence of a break under the null

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Tests for Unit Roots and the Initial Condition

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LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power

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The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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Further evidence on breaking trend functions in macroeconomic variables

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GLS detrending, efficient unit root tests and structural change.

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A simple modification to improve the finite sample properties of Ng and Perron's unit root tests

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Regression Theory for Near-Integrated Time Series

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Properties of recursive trend-adjusted unit root tests

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Recursive adjustment, unit root tests and structural breaks

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TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME

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Recursive mean adjustment in time-series inferences

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An invariant sign test for random walks based on recursive median adjustment

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recursive Mean Adjustment for Unit Root Tests

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Recursive mean adjustment and tests for nonstationarities

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1111/J.1467-9892.2012.00813.X

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Sitelinks

Mathematics(1 entry)

mardi Publication:2852481

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