Recursive adjustment, unit root tests and structural breaks

DOI10.1111/j.1467-9892.2012.00813.xzbMath1274.62615OpenAlexW2153189014MaRDI QIDQ2852481

Paulo M. M. Rodrigues

Publication date: 9 October 2013

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2012.00813.x

zbMATH Keywords

unit root testsstructural breaksrecursive adjustmentquasi-differencing

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40) Non-Markovian processes: hypothesis testing (62M07)

Related Items (5)

Recursive adjustment for general deterministic components and improved cointegration rank tests ⋮ On trend breaks and initial condition in unit root testing ⋮ Recursive adjusted unit root tests under non-stationary volatility ⋮ Recursive adjustment, unit root tests and structural breaks ⋮ The effect of recursive detrending on panel unit root tests

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