Bounds, breaks and unit root tests

DOI10.1111/JTSA.12140MaRDI QIDQ2789387zbMATH OpenOpenAlexFDO

Authors Josep Lluís Carrion-I-Silvestre, María Dolores Gadea

Publication date 29 February 2016

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

Full work available at URL http://hdl.handle.net/2445/104562

zbMATH Keywords

limited time seriesmultiple structural breaksregulated Brownian motionunit root

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Unit root tests based on IV estimators for time series with multiple breaks
• Structural change and unit roots
• Unit root tests in the presence of multi-variance break and level shifts that have power against the piecewise stationary alternative
• A new unit root test with two structural breaks in level and slope at unknown time
• Testing for unit roots in bounded time series

Cites work

• A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
• Additive Outlier Detection Via Extreme-Value Theory
• Automatic Lag Selection in Covariance Matrix Estimation
• Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
• Estimating the number of change-points via Schwarz' criterion
• GLS-based unit root tests for bounded processes
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• LIMITED TIME SERIES WITH A UNIT ROOT
• Nonparametric tests for unit roots and cointegration.
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• Robust methods for detecting multiple level breaks in autocorrelated time series
• Testing for a unit root in time series regression
• Testing for a unit root in variables with a double change in the mean
• Testing for unit roots in bounded time series
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

Cited in

(8)

• Unit root tests based on IV estimators for time series with multiple breaks
• Finite-sample properties of modified unit root tests in the presence of structural change.
• Bounded integrated processes and unit root tests
• Testing for unit roots in bounded time series
• Regulated seasonal unit root process
• LIMITED TIME SERIES WITH A UNIT ROOT
• A new unit root test with two structural breaks in level and slope at unknown time
• Detecting Multiple Level Shifts in Bounded Time Series

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