GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES

DOI10.1017/S0266466609990326zbMath1284.62522OpenAlexW2152297685MaRDI QIDQ3652626

Josep Lluís Carrion-i-Silvestre, Dukpa Kim, Pierre Perron

Publication date: 15 December 2009

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

Full work available at URL: https://doi.org/10.1017/s0266466609990326

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)

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