TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND

DOI10.1017/S0266466609990259zbMath1179.62120MaRDI QIDQ3652619

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Publication date: 15 December 2009

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

Mathematics Subject Classification ID

Related Items (22)

Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point ⋮ A joint test for structural stability and a unit root in autoregressions ⋮ Break point estimators for a slope shift: levels versus first differences ⋮ Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey-Fuller Statistics ⋮ Unit Roots, Level Shifts, and Trend Breaks in Per Capita Output: A Robust Evaluation ⋮ A simple unit root testing methodology that does not require knowledge regarding the presence of a break ⋮ The impact of multiple structural changes on mortality predictions ⋮ On trend breaks and initial condition in unit root testing ⋮ Deterministic Parameter Change Models in Continuous and Discrete Time ⋮ Modeling trend processes in parametric mortality models ⋮ Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics ⋮ Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem ⋮ Unit root testing under a local break in trend ⋮ Recursive adjusted unit root tests under non-stationary volatility ⋮ TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY ⋮ SADDLEPOINT AND ESTIMATED SADDLEPOINT APPROXIMATIONS FOR OPTIMAL UNIT ROOT TESTS ⋮ ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION ⋮ Unit root testing with stationary covariates and a structural break in the trend function ⋮ Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending ⋮ Semiparametric Sieve-Type Generalized Least Squares Inference ⋮ ON THE STRUCTURAL CHANGE OF THE LEE-CARTER MODEL AND ITS ACTUARIAL APPLICATION ⋮ A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS

Cites Work

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• Testing for unit roots in time series models with non-stationary volatility
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• Consistent autoregressive spectral estimates
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• TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
• SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
• Generalization of an inequality of Kolmogorov
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
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• Large Sample Properties of Posterior Densities, Bayesian Information Criterion and the Likelihood Principle in Nonstationary Time Series Models
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• Efficient Tests for an Autoregressive Unit Root
• Finite sample behaviour of the level shift model using quasi-differenced data
• COMMENTARIES ON “Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,” by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor

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