On stationary tests in the presence of structural breaks

DOI10.1016/S0165-1765(97)00073-6zbMath0899.90058OpenAlexW2009894827WikidataQ127725518 ScholiaQ127725518MaRDI QIDQ1391050

Junsoo Lee, Cliff J. Huang, Yongcheol Shin

Publication date: 22 July 1998

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(97)00073-6

zbMATH Keywords

unit rootstationaritystructural break

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items

Bias correction of KPSS test with structural break for reducing of size distortion ⋮ Generic consistency of the break-point estimators under specification errors in a multiple-break model ⋮ Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost ⋮ Testing for stationarity in series with a shift in the mean. A Fredholm approach ⋮ Testing the null of cointegration in the presence of a structural break ⋮ A PROOF OF THE POWER OF KIM'S TEST AGAINST STATIONARY PROCESSES WITH STRUCTURAL BREAKS ⋮ A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks

Cites Work

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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?
• Testing for a unit root in time series regression
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis