Testing for unit roots in autoregressions with multiple level shifts
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Publication:2886980
Recommendations
- A note on unit root testing in the presence of level shifts
- Comparison of unit root tests for time series with level shifts
- TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME
- Testing for unit roots in time series with level shifts
- Markov level shifts and the unit-root hypothesis
Cites work
- A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
- Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
- Comparison of unit root tests for time series with level shifts
- Efficient Tests for an Autoregressive Unit Root
- Estimating and Testing Linear Models with Multiple Structural Changes
- GLS detrending, efficient unit root tests and structural change.
- Infrequent permanent shocks and the finite-sample performance of unit root tests
- Joint Estimation of Model Parameters and Outlier Effects in Time Series
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Long memory and stochastic trend.
- ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
- Regression Theory for Near-Integrated Time Series
- Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
- Testing for a unit root in variables with a double change in the mean
- Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
- Testing for the presence of a random walk in series with structural breaks
- Testing for unit roots in time series with level shifts
- 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?
- Tests for Unit Roots and the Initial Condition
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- Towards a unified asymptotic theory for autoregression
- Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
- Unit Root Tests under Time-Varying Variances
- Unit roots and smooth transitions
- Unit‐root testing against the alternative hypothesis of up to m structural breaks
Cited in
(16)- Some properties of a unit root test with multiple level shifts in the presence of Markov level shifts
- Multiple unit roots in periodic autoregression
- A note on unit root testing in the presence of level shifts
- Unit root tests in the presence of multi-variance break and level shifts that have power against the piecewise stationary alternative
- Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables
- Testing Parameter Constancy in Unit Root Autoregressive Models Against Multiple Continuous Structural Changes
- Testing for unit roots in time series with level shifts
- Unit root testing
- Markov level shifts and the unit-root hypothesis
- TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME
- Testing for a unit root in the presence of a possible break in trend
- Unit root tests for time series with level shifts: a comparison of different proposals.
- Homogenous panel unit root tests under cross sectional dependence: finite sample modifications and the wild bootstrap
- Heteroskedasticity robust panel unit root testing under variance breaks in pooled regressions
- Size distortion of asymmetric unit root tests in the presence of level shifts
- Cointegration Rank Estimation for High-Dimensional Time Series With Breaks
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