Structural change and unit roots

DOI10.1016/0378-3758(95)00031-3zbMATH Open0839.62103OpenAlexW2067818674MaRDI QIDQ1909372FDOQ1909372

Authors: G. S. Maddala, In-Moo Kim 

Publication date: 1 May 1996

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-3758(95)00031-3

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zbMATH Keywords

surveystructural breakstrend breakssequential testsclassical approachdifference stationaritytests for unit rootsparameter constancy testsBayesian literaturerecursive tests

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Bayesian inference (62F15) Applications of statistics to economics (62P20)

Cites Work

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Cited In (12)

• Structural change and unit root econometrics
• Detecting the number of structural breaks
• Unit roots and structural breaks in OECD unemployment
• Bayesian analysis of autoregressive time series with change points
• Estimating break points in a time series regression with structural changes
• SISAM and MIXIN: Two algorithms for the computation of posterior moments and densities using Monte Carlo integration
• A Bayesian structural-change analysis via the stochastic approximation Monte Carlo and Gibbs sampler
• A Bayesian analysis of unit roots and structural breaks in the level, trend, and error variance of autoregressive models of economic series
• Bounds, breaks and unit root tests
• Title not available (Why is that?)
• A unified theory of structural change
• Structural change and the order of integration in univariate time series

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