Level shifts, unit roots and misspecification of the breaking date

DOI10.1016/S0165-1765(97)00012-8zbMath0901.90051OpenAlexW2059264522MaRDI QIDQ1391636

Antonio Montanés

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)00012-8

zbMATH Keywords

unit root testsbreaking date misspecificationexogenous break

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Related Items (7)

Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses ⋮ Testing for a unit root in variables with a double change in the mean ⋮ Testing for stationarity in series with a shift in the mean. A Fredholm approach ⋮ Spurious Rejections with Endogenous Break Unit Root Tests in the Presence of Outliers and Breaks ⋮ GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES ⋮ The discontinuous trend unit root test when the break point is misspecified ⋮ Misspecification of the breaking date in segmented trend variables: Effect on the unit root tests

Cites Work

• Misspecification tests, unit roots and level shifts
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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