On infimum Dickey-Fuller unit root tests allowing for a trend break under the null
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Publication:1623643
DOI10.1016/j.csda.2012.10.017zbMath1506.62077OpenAlexW1995630403MaRDI QIDQ1623643
David I. Harvey, A. M. Robert Taylor, Stephen J. Leybourne
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
Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
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Cites Work
- Structural breaks with deterministic and stochastic trends
- Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
- Further evidence on breaking trend functions in macroeconomic variables
- 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
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
