TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS

DOI10.1017/S0266466607070466zbMath1237.62112MaRDI QIDQ2886980

Giuseppe Cavaliere, Iliyan Georgiev

Publication date: 14 May 2012

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

65C05: Monte Carlo methods

62M07: Non-Markovian processes: hypothesis testing

Related Items

Unit Root Tests in the Presence of Multi-Variance Break and Level Shifts That Have Power Against the Piecewise Stationary Alternative, Heteroskedasticity Robust Panel Unit Root Testing Under Variance Breaks in Pooled Regressions, Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables, Homogenous panel unit root tests under cross sectional dependence: finite sample modifications and the wild bootstrap, TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND

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