FURTHER COMMENTS ON STATIONARITY TESTS IN SERIES WITH STRUCTURAL BREAKS AT UNKNOWN POINTS

DOI10.1111/1467-9892.00297zbMath1112.62087OpenAlexW2078262578MaRDI QIDQ3440777

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Publication date: 29 May 2007

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00297

zbMATH Keywords

critical valuerandom walkstructural breaktest

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical methods (62L99)

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Modelling structural breaks, long memory and stock market volatility: an overview ⋮ Bias correction of KPSS test with structural break for reducing of size distortion ⋮ Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots ⋮ Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics ⋮ Breaking the panels: An application to the GDP per capita ⋮ TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT ⋮ Tests of stationarity against a change in persistence ⋮ A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending

Cites Work

• Testing for the Presence of a Random Walk in Series with Structural Breaks

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