Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics
DOI10.1016/J.JECONOM.2013.04.012zbMATH Open1288.62123OpenAlexW1992819082MaRDI QIDQ2453085FDOQ2453085
David I. Harvey, A. M. Robert Taylor, Stephen Leybourne
Publication date: 6 June 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.04.012
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Macroeconomic theory (monetary models, models of taxation) (91B64) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)
Cites Work
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- Testing for the presence of a random walk in series with structural breaks
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- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- 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
- Efficient Tests for an Autoregressive Unit Root
- SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
- TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND
- GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES
- A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
- GLS detrending, efficient unit root tests and structural change.
- A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component
- Unit root testing under a local break in trend
Cited In (11)
- UNIT ROOTS, TREND BREAKS, AND TRANSITORY DYNAMICS: A MACROECONOMIC PERSPECTIVE
- The Disappointing Properties of GLS-Based Unit Root Tests in the Presence of Structural Breaks
- 50 years of capital mobility in the eurozone: breaking the Feldstein-Horioka puzzle
- Quantifying the data-dredging bias in structural break tests
- Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending
- Extensions of some classical methods in change point analysis
- On infimum Dickey-Fuller unit root tests allowing for a trend break under the null
- On trend breaks and initial condition in unit root testing
- Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown
- Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey-Fuller Statistics
- Confidence sets for the date of a break in level and trend when the order of integration is unknown
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