Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics

DOI10.1016/j.jeconom.2013.04.012zbMath1288.62123OpenAlexW1992819082MaRDI QIDQ2453085

David I. Harvey, A. M. Robert Taylor, Stephen J. 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

zbMATH Keywords

unit root testminimum Dickey-Fuller testlocal GLS detrendingmultiple breaks in trend

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Macroeconomic theory (monetary models, models of taxation) (91B64) Non-Markovian processes: hypothesis testing (62M07)

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Cites Work

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