Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics
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Cites work
- A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component
- A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
- Efficient Tests for an Autoregressive Unit Root
- FURTHER COMMENTS ON STATIONARITY TESTS IN SERIES WITH STRUCTURAL BREAKS AT UNKNOWN POINTS
- Further evidence on breaking trend functions in macroeconomic variables
- GLS detrending, efficient unit root tests and structural change.
- GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypotheses
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
- Structural breaks with deterministic and stochastic trends
- Testing for a unit root in the presence of a possible break in trend
- Testing for stationarity with a break
- Testing for the presence of a random walk in series with structural breaks
- 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?
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- Unit root testing under a local break in trend
Cited in
(19)- 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
- Testing for unit roots under multiple possible trend breaks and non-stationary volatility using bootstrap minimum Dickey-Fuller statistics
- Model-Selection-Based Detection of Unit Root Allowing for Various Trend-Break Types
- On infimum Dickey-Fuller unit root tests allowing for a trend break under the null
- Unit root testing under a local break in trend
- On trend breaks and initial condition in unit root testing
- Residual‐based block bootstrap unit root testing in the presence of trend breaks
- 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
- Time series econometrics. Volume 1. Unit roots and trend breaks
- An infimum coefficient unit root test allowing for an unknown break in trend
- Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown
- Unit root tests based on IV estimators for time series with multiple breaks
- Confidence sets for the date of a break in level and trend when the order of integration is unknown
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