Nonparametric unit root test and structural breaks
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Recommendations
- Unit root tests in the presence of an innovation variance break that has power against the mean break stationary alternative
- Unit‐root testing against the alternative hypothesis of up to m structural breaks
- On stationary tests in the presence of structural breaks
- Unit root tests in the presence of multi-variance break and level shifts that have power against the piecewise stationary alternative
- TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
Cited in
(12)- On stationary tests in the presence of structural breaks
- Structural breaks, unit roots and methods for removing the autocorrelation pattern
- A joint test for structural stability and a unit root in autoregressions
- Localized level crossing random walk test robust to the presence of structural breaks
- The size performance of a nonparametric unit root test under a variance shift
- FURTHER COMMENTS ON STATIONARITY TESTS IN SERIES WITH STRUCTURAL BREAKS AT UNKNOWN POINTS
- A NOTE ON BUSETTI-HARVEY TESTS FOR STATIONARITY IN SERIES WITH STRUCTURAL BREAKS
- scientific article; zbMATH DE number 1241069 (Why is no real title available?)
- A new unit root test with two structural breaks in level and slope at unknown time
- Unit‐root testing against the alternative hypothesis of up to m structural breaks
- Joint hypothesis specification for unit root tests with a structural break
- Structural changes and unit roots in non-stationary time series
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