GLS detrending, efficient unit root tests and structural change.

DOI10.1016/S0304-4076(03)00090-3zbMath1183.62154OpenAlexW2146335013MaRDI QIDQ1810676

Gabriel Rodríguez, Pierre Perron

Publication date: 9 June 2003

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(03)00090-3

zbMATH Keywords

Information criteriaChange-pointIntegrated processQuasi-differencingTruncation lag

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Statistical tables (62Q05)

Related Items (29)

TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS ⋮ Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey-Fuller Statistics ⋮ Testing Parameter Constancy in Unit Root Autoregressive Models Against Multiple Continuous Structural Changes ⋮ An infimum coefficient unit root test allowing for an unknown break in trend ⋮ On trend breaks and initial condition in unit root testing ⋮ Deterministic Parameter Change Models in Continuous and Discrete Time ⋮ A parametric stationarity test with smooth breaks ⋮ GLS-based unit root tests for bounded processes ⋮ Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics ⋮ Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem ⋮ More powerful modifications of unit root tests allowing structural change ⋮ Testing for Unit Roots and the Impact of Quadratic Trends, with an Application to Relative Primary Commodity Prices ⋮ Finite sample behaviour of the level shift model using quasi-differenced data ⋮ TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT ⋮ Residual‐based block bootstrap unit root testing in the presence of trend breaks ⋮ Unit root testing under a local break in trend ⋮ Recursive adjusted unit root tests under non-stationary volatility ⋮ Spurious Rejections with Endogenous Break Unit Root Tests in the Presence of Outliers and Breaks ⋮ Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples ⋮ TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY ⋮ Unit root tests and structural change when the initial observation is drawn from its unconditional distribution ⋮ TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND ⋮ GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES ⋮ Recursive adjustment, unit root tests and structural breaks ⋮ Unit root testing with stationary covariates and a structural break in the trend function ⋮ On the performance of the variance ratio unit root tests with flexible Fourier form ⋮ Confidence sets for the date of a break in level and trend when the order of integration is unknown ⋮ ON THE STRUCTURAL CHANGE OF THE LEE-CARTER MODEL AND ITS ACTUARIAL APPLICATION ⋮ Is there a permanent component in US real GDP

Cites Work

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