UNIT ROOTS, TREND BREAKS, AND TRANSITORY DYNAMICS: A MACROECONOMIC PERSPECTIVE

DOI10.1017/S1365100501010094MaRDI QIDQ4449974zbMATH OpenOpenAlexFDO

Authors Lutz Kilian, Lee E. Ohanian

Publication date 15 February 2004

Published in Macroeconomic Dynamics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s1365100501010094

zbMATH Keywords

BootstrapTransitory DynamicsTrend Break

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; economic indices and measures (91B82)

Recommendations

• Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics
• Unit roots and smooth transitions
• A critique of the application of unit root tests
• On infimum Dickey-Fuller unit root tests allowing for a trend break under the null
• Testing for a deterministic trend when there is evidence of unit root

Cited in

(2)

• Unit roots, level shifts, and trend breaks in per capita output: a robust evaluation
• Analysis of structural breaks and unit root tests for Chinese macroeconomic data

This page was built for publication: UNIT ROOTS, TREND BREAKS, AND TRANSITORY DYNAMICS: A MACROECONOMIC PERSPECTIVE

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4449974)