Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots

DOI10.1016/S0304-4076(03)00117-9zbMath1026.62086OpenAlexW2145569147MaRDI QIDQ1410564

A. M. Robert Taylor, Fabio Busetti

Publication date: 14 October 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(03)00117-9

zbMATH Keywords

tablesstationarity testsstructural breakspre-filteringbias-corrected testsunattended unit roots

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items (9)

TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS ⋮ The performance of the overall tests of seasonal integration against nonstationary alternatives: A unifying approach ⋮ Seasonal Unit Root Tests Under Structural Breaks* ⋮ Spurious regression due to neglected of non-stationary volatility ⋮ A nonparametric unit root test under nonstationary volatility ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots ⋮ The effects of additive outliers on the seasonal KPSS test: a Monte Carlo analysis ⋮ A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks

Uses Software

• Ox

Cites Work

• Seasonal integration and cointegration
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Structural breaks and seasonal integration
• Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
• Tests for seasonal unit roots. General to specific or specific to general?
• Testing for the Presence of a Random Walk in Series with Structural Breaks
• FURTHER COMMENTS ON STATIONARITY TESTS IN SERIES WITH STRUCTURAL BREAKS AT UNKNOWN POINTS
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Testing for the Constancy of Parameters Over Time
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes
• TESTS OF COMMON STOCHASTIC TRENDS
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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