Structural breaks, unit roots and methods for removing the autocorrelation pattern

DOI10.1016/S0167-7152(00)00023-7zbMath1122.62327WikidataQ127027697 ScholiaQ127027697MaRDI QIDQ1573272

Marcelo Bussotti Reyes, Antonio Montanés

Publication date: 10 August 2000

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(00)00023-7

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

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Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses, Structural changes and unit roots in non-stationary time series, How should central banks respond to non-neutral inflation expectations?

Cites Work

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• The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis.
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing for a unit root in time series regression
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• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag