TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS (Q2886980)

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Language	Label	Description	Also known as
English	TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS	scientific article

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scholarly article

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TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS (English)

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zbMATH Open document ID

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10.1017/S0266466607070466

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Giuseppe Cavaliere

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Iliyan Georgiev

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Econometric Theory

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publication date

14 May 2012

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Mathematics Subject Classification ID

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zbMATH DE Number

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MaRDI profile type

MaRDI publication profile

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Joint Estimation of Model Parameters and Outlier Effects in Time Series

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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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Unit Root Tests under Time-Varying Variances

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

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

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Testing for the Presence of a Random Walk in Series with Structural Breaks

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

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Infrequent permanent shocks and the finite-sample performance of unit root tests

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Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

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Estimating and Testing Linear Models with Multiple Structural Changes

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Tests for Unit Roots and the Initial Condition

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Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time

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Unit roots and smooth transitions

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Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis

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Long memory and stochastic trend.

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Comparison of unit root tests for time series with level shifts

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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?

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Unit‐root testing against the alternative hypothesis of up to <i>m</i> structural breaks

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Testing for unit roots in time series with level shifts

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Regression Theory for Near-Integrated Time Series

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Efficient Tests for an Autoregressive Unit Root

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Towards a unified asymptotic theory for autoregression

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Testing for a unit root in variables with a double change in the mean

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GLS detrending, efficient unit root tests and structural change.

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ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS

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Mathematics(1 entry)

mardi Publication:2886980

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