A simultaneous test of unit root and level change

DOI10.1002/FOR.1126zbMath1203.62157OpenAlexW3125153722MaRDI QIDQ3065514

Dae Keun Park, Duk bin Jun

Publication date: 6 January 2011

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

Full work available at URL: https://doi.org/10.1002/for.1126

zbMATH Keywords

simulationunit rootstate space modellevel change

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Cites Work

• Intervention Analysis with Applications to Economic and Environmental Problems
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time

This page was built for publication: A simultaneous test of unit root and level change