On infimum Dickey-Fuller unit root tests allowing for a trend break under the null
DOI10.1016/J.CSDA.2012.10.017zbMATH Open1506.62077OpenAlexW1995630403MaRDI QIDQ1623643FDOQ1623643
Authors: David I. Harvey, Stephen Leybourne, A. M. Robert Taylor 
Publication date: 23 November 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2012.10.017
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Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Non-Markovian processes: hypothesis testing (62M07)
Cites Work
- Further evidence on breaking trend functions in macroeconomic variables
- Structural breaks with deterministic and stochastic trends
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
- 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
Cited In (8)
- A simple unit root testing methodology that does not require knowledge regarding the presence of a break
- UNIT ROOTS, TREND BREAKS, AND TRANSITORY DYNAMICS: A MACROECONOMIC PERSPECTIVE
- On the asymptotic distribution of a simple unit root test for trending and breaking series
- The discontinuous trend unit root test when the break point is misspecified
- Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics
- On trend breaks and initial condition in unit root testing
- An infimum coefficient unit root test allowing for an unknown break in trend
- On the Use of the Flexible Fourier Form in Unit Root Tests, Endogenous Breaks, and Parameter Instability
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