Further evidence on breaking trend functions in macroeconomic variables

DOI10.1016/S0304-4076(97)00049-3zbMATH Open0965.62103WikidataQ115188679 ScholiaQ115188679MaRDI QIDQ1371377FDOQ1371377

Authors: Pierre Perron 

Publication date: 31 July 2001

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

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zbMATH Keywords

hypothesis testingunit rootsstochastic trendsdeterministic trendsstructural changesimulation experiment

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cited In (78)

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• Climate change and the US wheat commodity market
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• Model-Selection-Based Detection of Unit Root Allowing for Various Trend-Break Types
• Analysis of structural breaks and unit root tests for Chinese macroeconomic data
• Cointegration Rank Estimation for High-Dimensional Time Series With Breaks
• THE BEHAVIOR OF HEGY TESTS FOR QUARTERLY TIME SERIES WITH SEASONAL MEAN SHIFTS
• A re-examination of Libor rigging: a time-varying cointegration perspective
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• The distribution of rolling regression estimators
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• A parametric stationarity test with smooth breaks
• Maximum Likelihood Unit Root Testing in the Presence of GARCH: A New Test with Increased Power
• Comment on “Statistical Adequacy and the Testing of Trend Versus Difference Stationarity” by Andreou and Spanos (Number 1)
• Smooth structural changes and common factors in nonstationary panel data: an analysis of healthcare expenditures^†
• TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
• Selection of the break in the Perron-type tests
• Structural breaks with deterministic and stochastic trends
• Empirically relevant critical values for hypothesis tests: A bootstrap approach
• Unit roots and structural breaks in OECD unemployment
• Distinguishing between trend-break models: method and empirical evidence
• Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
• Joint hypothesis specification for unit root tests with a structural break
• Modeling the impact of real and financial shocks on Mercosur: The role of the exchange rate regime
• Model specification in panel data unit root tests with an unknown break
• Detection and attribution of climate change through econometric methods
• Fuzzy modelling and estimation of economic relationships
• Statistical Adequacy and the Testing of Trend Versus Difference Stationarity
• On the asymptotic distribution of a simple unit root test for trending and breaking series
• Unit roots, level shifts, and trend breaks in per capita output: a robust evaluation
• Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
• Testing for stationarity with a break
• Modelling breaks and clusters in the steady states of macroeconomic variables
• Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
• A new unit root test with two structural breaks in level and slope at unknown time
• A note on the asymptotic distribution of a Perron-type innovational outlier unit root test with a break
• 50 years of capital mobility in the eurozone: breaking the Feldstein-Horioka puzzle
• Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending
• Testing for unit roots under multiple possible trend breaks and non-stationary volatility using bootstrap minimum Dickey-Fuller statistics
• A wavelet-based approach for modelling exchange rates
• Testing for unit roots in short panels allowing for a structural break
• Unit root tests in the presence of an innovation variance break that has power against the mean break stationary alternative
• A bootstrap test for additive outliers in non-stationary time series
• On infimum Dickey-Fuller unit root tests allowing for a trend break under the null
• Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics
• Unit root testing under a local break in trend
• Spurious regression
• Panel data unit root test with structural break: a Bayesian approach
• Recursive adjustment, unit root tests and structural breaks
• Residual‐based block bootstrap unit root testing in the presence of trend breaks
• 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
• A simple testing procedure for unit root and model specification
• An infimum coefficient unit root test allowing for an unknown break in trend
• Testing for a unit root in variables with a double change in the mean
• Unit root tests and structural change when the initial observation is drawn from its unconditional distribution
• Regime changes and interest rate risk
• Methods of analyzing nonstationary time series with implicit changes in their properties
• Inference related to common breaks in a multivariate system with joined segmented trends with applications to global and hemispheric temperatures
• GLS detrending, efficient unit root tests and structural change.
• Unit root testing with stationary covariates and a structural break in the trend function
• A Bayesian structural-change analysis via the stochastic approximation Monte Carlo and Gibbs sampler
• Structural changes and unit roots in non-stationary time series
• Delay times of sequential procedures for multiple time series regression models
• Recursive adjusted unit root tests under non-stationary volatility
• Structural breaks, tourism development, and economic growth: Evidence from Taiwan
• Fixed and recursive right-tailed Dickey-Fuller tests in the presence of a break under the null
• Federal regulation and aggregate economic growth
• On LM-type tests for seasonal unit roots in the presence of a break in trend
• New innovational outlier unit root test with a break at an unknown time
• Modelling structural breaks, long memory and stock market volatility: an overview
• Performance of LM-type unit root tests with trend break: a bootstrap approach
• Stationarity testing under nonlinear models. Some asymptotic results
• Joint maximum likelihood estimation of unit root testing equations and GARCH processes: some finite-sample issues
• Estimating the equilibrium effective exchange rate for potential EMU members
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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