GLS detrending, efficient unit root tests and structural change.

DOI10.1016/S0304-4076(03)00090-3zbMath1183.62154OpenAlexW2146335013MaRDI QIDQ1810676

Gabriel Rodríguez, Pierre Perron

Publication date: 9 June 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(03)00090-3

zbMATH Keywords

Information criteriaChange-pointIntegrated processQuasi-differencingTruncation lag

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Statistical tables (62Q05)

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