Selection of the break in the Perron-type tests

DOI10.1016/j.jeconom.2004.09.003zbMath1337.62223OpenAlexW1982817565MaRDI QIDQ265103

Antonio Montanés, Elena Calvo, Irene Olloqui

Publication date: 1 April 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2004.09.003

zbMATH Keywords

unit rootsstructural breaksPerron-type teststype of break

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (3)

Modelling structural breaks, long memory and stock market volatility: an overview ⋮ Spurious Rejections with Endogenous Break Unit Root Tests in the Presence of Outliers and Breaks ⋮ Stationarity testing under nonlinear models. Some asymptotic results

Cites Work

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• Misspecification of the breaking date in segmented trend variables: Effect on the unit root tests
• Testing for a unit root in variables with a double change in the mean
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

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